Thornburg Investment Income Builder Fund Class C (TIBCX) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT

COMPANIES

Investment Company Act file number   811-05201

Thornburg Investment Trust

(Exact name of registrant as specified in charter)

c/o Thornburg Investment Management, Inc.

2300 North Ridgetop Road, Santa Fe, New Mexico 87506

(Address of principal executive offices) (Zip code)

Garrett Thornburg, 2300 North Ridgetop Road, Santa Fe, New Mexico 87506

(Name and address of agent for service)

Registrant’s telephone number, including area code:   505-984-0200

Date of fiscal year end:     September 30

Date of reporting period:   March 31, 2017

Item 1. Reports to Stockholders

The following Semi-annual reports are attached hereto, in order:

Thornburg Low Duration Municipal Fund

Thornburg Limited Term Municipal Fund

Thornburg Intermediate Municipal Fund

Thornburg Strategic Municipal Income Fund

Thornburg California Limited Term Municipal Fund

Thornburg New Mexico Intermediate Municipal Fund

Thornburg New York Intermediate Municipal Fund

Thornburg Limited Term U.S. Government Fund

Thornburg Limited Term Income Fund

Thornburg Low Duration Income Fund

Thornburg Strategic Income Fund

Thornburg Value Fund

Thornburg International Value Fund

Thornburg Core Growth Fund

Thornburg International Growth Fund

Thornburg Investment Income Builder Fund

Thornburg Global Opportunities Fund

Thornburg Developing World Fund

Thornburg Better World International Fund

Thornburg Capital Management Fund

Thornburg Long/Short Equity Fund

Semi-Annual Report March 31, 2017 THORNBURG LOW DURATION MUNICIPAL FUND

About Thornburg Investment Management

It’s more than what we do. It’s how we do it.

At Thornburg, we are very different in how we think, invest, and are structured. We believe this difference is what makes us successful in helping individuals reach their long-term financial goals.

How we THINK Flexible Perspective Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value.

Collaboration Collectively, we hone ideas via borderless cross-pollination for better judgment and better results.

How we INVEST Portfolio Construction Disciplined construction guided more by our convictions than convention. CONVICTION Thorough analysis and our relative-value framework lead to conviction in our securities selection. UNCONVENTIONAL Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point.

How we’re Structured for Excellence How we think and how we invest is made possible by how we’re structured. TEAM APPROACH FAR FROM THE HERD ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg Low Duration Municipal Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	12
Statement of Operations	13
Statements of Changes in Net Assets	14
Notes to Financial Statements	15
Financial Highlights	20
Expense Example	22
Other Information	23
Trustees’ Statement to Shareholders	24

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	TLMAX	885-216-788
Class I	TLMIX	885-216-770

Minimum investments for Class I shares may be higher than those for Class A shares. Class I shares may not be available to all investors.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Semi-Annual Report    3

Letter to Shareholders
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

April 28, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg Low Duration Municipal Fund. The net asset value (NAV) of the Class A shares decreased by 1 cent to $12.33 per share during the six-month period ended March 31, 2017. If you were with us the entire period, you received dividends of 3 cents per share. Dividends were higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund underperformed the index with a 0.17% total return (without sales charge) for the six months ended March 31, 2017, compared to the 0.35% return for the BofA Merrill Lynch 1-3 Year U.S. Municipal Securities Index.

The Fund’s duration as well as curve positioning added 0.10% to relative performance. The Fund’s credit allocations added another 0.03%. Other risk factors contributed 0.08% to performance. Fund expenses accounted for the remaining differences.

The Municipal Bond Market

After a few years of relative quiet in the municipal bond market, things heated up following the election of Donald Trump in 2016. While stocks were rallying, bond prices, particularly municipal bond prices, came under pressure. Bond yields initially rose after the election based on expectations for greater infrastructure spending, stronger growth and higher inflation. The uptick in rates led mutual fund investors to sell their shares, which caused municipal bond mutual funds to sell their bonds to meet those redemptions. After significant inflows in January to September of 2016, investors pulled $26 billion from municipal bond funds in November and December, some of which was related to tax-loss selling.

When the calendar turned in 2017, these outflows slowed and the municipal bond market produced positive returns. A contributing factor to positive returns was a decline in municipal bond issuance, as during the first quarter of 2017, the supply of new municipal bonds declined by 12% from the same time last year.

The value metrics we use at Thornburg suggest that the municipal bond market continues to price in the rosiest of scenarios moving forward, as investors have been pushed out of the risk spectrum. That is why we have Thornburg Low Duration Municipal Fund positioned in the lower end of its respective risk spectrum. In this environment, we continue to keep duration shorter, credit quality higher and we maintain higher levels of reserves.

Inside the Risk Metrics

Real yields, which indicate how much yield over inflation investors are being paid to own municipal bonds, increased over the six-month period. As of September 30, 2016, 10-year AAA general obligation (GO) bonds were yielding 1.64% and the Core Personal Consumption Expenditures Index (PCE) was running at 1.70%, so investors were earning less than inflation. By the end of February 2017, the yield on 10-year AAA GO bonds had increased to 2.30%, while Core PCE was running at 1.80%. While certainly more interesting at the end of the period, the 0.5% real yield was significantly less than the average of 2% investors have earned over the past 20 years.

The second thing to consider is credit spreads, which reflect the incremental yield an investor earns from owning a lower-rated credit versus a higher-rated credit, and which today remain narrow. As of March 31, 2017, an investor earned about 1.28% more for owning a 10-year BBB revenue bond versus a 10-year AAA GO bond. That is slightly higher than the average 0.75% an investor earned between 1994 and 2007. However, in 2007, approximately 50% of the new-issue municipal bond market was insured by AAA/AAA municipal bond insurers. Today, there are no AAA/AAA municipal bond insurers, and insurance coverage generally accounts for only 6% to 8% of the new-issue municipal bond market.

Finally, the slope of the yield curve, which tracks how much incremental yield an investor earns by owning securities with longer maturities, is slightly flatter than historical averages. Currently, investors are earning about 1.4% more for owning a 10-year AAA GO municipal bond, versus a one-year AAA GO municipal bond. Since 1994, an investor earned on average almost 1.6% to extend maturities from one to 10 years.

The Economy and Tax Reform

The U.S. economy continued its slow recovery in 2016, growing at a rate of 1.6% for 2016 in aggregate.

Unemployment continued to tick down. During the six-month period ended March 31, 2017, the U.S. economy added 976,000 jobs and by the end of the period the unemployment rate had fallen to 4.5%. Inflation remained stable, with the Core PCE Index reading 1.75% through March, below the Fed’s 2% target range.

Taken in aggregate, the economy continues to grow, jobs are being added and inflation has remained contained to date. In an effort to keep the economy in check, the U.S. Federal Reserve raised the Fed funds rate in December of 2016, and again in March of 2017.

The economic health of the municipal bond market appears steady with a couple of notable exceptions. The drama in Puerto Rico is still playing out; the only winners are the consultants and lawyers hired by all sides.

Elsewhere, Bloomberg provides a heat map of the economic health of U.S. states, covering the period from the fourth quarter of 2015 through the fourth quarter of 2016 (the most

4    Semi-Annual Report

Letter to Shareholders, Continued
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

recent data available). The majority of the states appear healthy except those with heavy dependence on oil, gas, and coal. The energy-dependent states should improve if oil can maintain prices above $50/barrel.

Tax reform is the second highest priority of President Trump’s and the Republican-led House agenda—second only to health care reform. The most important items in the tax proposals for the owners of municipal bonds (individuals as well as corporations) are those relevant to investment income. By lowering the effective tax rate on competing sources of income, prices of municipal bonds would most likely fall (yields would increase) to become more competitive with these alternative sources of income. There are a number of proposals that have been brought forth, and we believe that if tax reform is enacted, it will be something different than any one of these specific proposals.

President Trump’s tax reform proposal (released Thursday, April 27, 2017) called for the elimination of the deduction for state and local taxes on an individual’s federal tax return. This would, if adopted, have significant impacts for residents of high-tax states. The near-term effects on the economy would be minimal, but long term, residents would have less money in their pockets to spend, the cost of residing in high-tax states would increase and might cause out-migration and lower growth.

Conclusion

We continue to run this portfolio as an actively managed laddered portfolio. Laddering a portfolio is a simple way to diversify its investment along its entire investment universe. While past performance does not guarantee future results, our study showed that this structure outperformed other structures around 60% of the time and added 0.15% to 0.25% of total return annually from 1997 through 2016.* Our view is that the current investment environment is not compensating investors enough to take on extra risk, so we have positioned our portfolios at the lower end of their risk spectrums.

Thank you for your continued trust in us, and please know that the co-managers of this Fund are invested alongside you.

Sincerely,

Christopher Ryon,CFA	Nicholos Venditti,CFA
Portfolio Manager	Portfolio Manager
Managing Director	Managing Director

* We examined three hypothetical portfolios of bonds from December 1997 to December 2016. One using a laddering strategy, one using a barbell strategy, and a third using a bullet strategy. For the laddering strategy, the BofA Merrill Lynch 1–12 Year Municipal Index was used as a proxy, since, similar to a ladder, it contains bonds relatively evenly spread across all maturities within the index. The barbell strategy is a duration management technique wherein bonds are clustered at the two extremes of a maturity range. For the barbell strategy, the BofA Merrill Lynch 1–3 Year Municipal Index and BofA Merrill Lynch 8–12 Year Municipal Index were combined. The two indices were weighted in such a way as to give them the same duration as the broader 1–12 Year Index, and each year the portfolio was re-weighted back to the original index weights. This was done to make the two portfolios duration-neutral so that the impact of the strategy chosen could be isolated. The bullet strategy invests at the duration midpoint of the portfolio, therefore the BofA Merrill Lynch 6–8 Year Index was used to represent the bullet strategy. For additional information, see www.thornburg.com/whyladder. Past performance does not guarantee future results.

The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			SINCE INCEP.
A Shares (Incep: 12/30/13)
Without sales charge		0.15	%		0.29	%		0.29	%
With sales charge		-1.36	%		-0.22	%		-0.18	%
I Shares (Incep: 12/30/13)		0.43	%		0.49	%		0.48	%

30-DAY YIELDS, A SHARES

(with sales charge)

Annualized Distribution Yield	0.60	%
SEC Yield	0.62	%

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 1.50%. There is no sales charge for Class I shares.

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 2.19%; I shares, 0.72%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: A shares, 0.70%; I shares, 0.50%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus. Without the fee waivers and expense reimbursements, the Annualized Distribution yield would have been 0.19%, and the SEC yield would have been 0.21%.

Glossary

The BofA Merrill Lynch 1-3 Year Municipal Securities Index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 3 years.

The BofA Merrill Lynch indices used in the Ladder vs Barbell & Bullet study are model portfolios of municipal obligations throughout the United States, with maturities ranging either from one to three years, six to eight years, eight to twelve years, or one to twelve years. These indices are subsets of the BofA Merrill Lynch U.S. Municipal Securities Index, which is comprised of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least a one-year remaining term to final maturity, a fixed coupon schedule and an investment grade rating.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.

Bond Credit Ratings (Credit Quality) – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Insured Bonds – Individual bonds are sometimes insured by private companies. The insurance guarantees the payment of principal and interest on a bond issue if the issuer defaults. Mutual funds are not insured, even if the underlying bonds are insured.

Core Personal Consumption Expenditure Index (Core PCE) – Core Personal Consumption Expenditure Index is a measure of the Personal Consumption Expenditure Index that excludes the more volatile and seasonal food and energy prices.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.

General Obligation Bond (GO) – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.

Laddering – Laddering involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.

Revenue Bond – A bond on which the debt service is payable solely from the revenue generated from the operation of the project being financed or a category of facilities, or from other non-tax sources.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

6    Semi-Annual Report

Fund Summary
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks current income exempt from federal income tax, consistent with preservation of capital (may be subject to Alternative Minimum Tax).

This Fund invests principally in a laddered portfolio of municipal bonds with a dollar-weighted average duration of normally no more than three years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.

PORTFOLIO LADDER

Percent of portfolio maturing in each year. Cash includes cash equivalents and other.

SECURITY CREDIT RATINGS†

A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.

KEY PORTFOLIO ATTRIBUTES

Number of Bonds	107
Effective Duration	1.3 Yrs
Average Maturity	1.5 Yrs

There is no guarantee that the Fund will meet its investment objectives.

All data is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    7

Schedule of Investments
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
ALABAMA — 1.38%
City of Mobile Industrial Development Board, 1.85% due 6/1/2034 (Alabama Power Company Barry Plant)		A-/A1	$	1,000,000	$	1,002,600
ARIZONA — 1.39%
Arizona School Facilities Board, 5.00% due 7/1/2017 (State School Land Trust; Insured: AMBAC)		NR/NR		1,000,000		1,010,280
ARKANSAS — 0.43%
Board of Trustees of the University of Arkansas, 4.00% due 11/1/2018 (Fayetteville Campus)		NR/Aa2		295,000		308,815
CALIFORNIA — 6.36%
California Statewide Communities Development Authority, 5.25% due 7/1/2017 (St. Joseph Health System; Insured: AGM) (ETM)		AA/NR		100,000		101,141
California Statewide Communities Development Authority, 5.00% due 5/15/2019 (Irvine East Campus Apartments)		NR/Baa1		655,000		699,658
California Statewide Communities Development Authority, 5.00% due 5/15/2020 (Irvine East Campus Apartments)		NR/Baa1		565,000		616,240
City of Chula Vista, 1.65% due 7/1/2018 (San Diego Gas & Electric Co.)		A+/Aa2		1,000,000		1,000,590
City of Los Angeles GO, 3.00% due 6/29/2017 (Cash Flow Management)		SP-1+/Mig1		500,000		502,450
County of Los Angeles GO, 3.00% due 6/30/2017 (Cash Management Program)		SP-1+/Mig1		500,000		502,895
Jurupa Public Financing Authority, 4.00% due 9/1/2017		BBB+/NR		100,000		101,085
Riverside County Public Financing Authority, 4.00% due 9/1/2017 (Hemet Project)		A+/NR		485,000		491,484
Successor Agency to the Redevelopment Agency of the City of Chino, 5.00% due 9/1/2017 (Merged Chino Areas 2001 and 2003 and Central City Redevelopment Projects; Insured: BAM)		AA/NR		300,000		305,148
Successor Agency to the Redevelopment Agency of the Richmond Community, 4.00% due 9/1/2017 (Harbour and Merged Area Redevelopment Projects; Insured: BAM)		AA/NR		300,000		303,735
COLORADO — 2.89%
City & County of Denver COP, 0.95% due 12/1/2029 put 4/3/2017 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)		AA+/Aa1		1,400,000		1,400,000
City of Aurora COP, 5.00% due 12/1/2019 (Sports Park and E-911 Projects)		AA-/Aa2		365,000		398,445
Regional Transportation District COP, 5.00% due 6/1/2017 (FasTracks Transportation System)		A/Aa3		300,000		302,088
CONNECTICUT — 3.79%
State of Connecticut GO Floating Rate Note, 1.54% due 6/15/2018 (Various Capital Projects)		AA-/Aa3		1,000,000		1,003,360
a State of Connecticut Health and Educational Facilities Authority, 1.65% due 11/15/2029 (Ascension Health Credit Group)		AA+/Aa2		1,750,000		1,754,287
FLORIDA — 4.26%
County of Osceola, 5.00% due 10/1/2017 (Transportation Capital Improvements; Insured: AMBAC)		A+/A1		150,000		152,940
Hillsborough County IDA, 5.65% due 5/15/2018 (Tampa Electric Co.)		BBB+/A3		200,000		209,424
JEA, 0.90% due 10/1/2038 put 4/3/2017 (Water and Sewer System; SPA: U.S. Bank, N.A.) (daily demand notes)		AA+/Aa2		2,510,000		2,510,000
Volusia County Educational Facilities Authority, 3.00% due 10/15/2017 (Embry-Riddle Aeronautical University, Inc.)		NR/Baa1		105,000		105,826
Volusia County Educational Facilities Authority, 3.00% due 10/15/2018 (Embry-Riddle Aeronautical University, Inc.)		NR/Baa1		120,000		122,301
GEORGIA — 1.31%
City of Atlanta, 3.00% due 1/1/2018 (BeltLine Project)		NR/A2		340,000		344,627
City of Atlanta, 4.00% due 1/1/2019 (BeltLine Project)		NR/A2		580,000		605,973
GUAM — 3.28%
Government of Guam, 3.00% due 11/15/2017 (Various Capital Projects)		A/NR		300,000		302,214
Government of Guam, 4.00% due 11/15/2018 (Economic Development)		A/NR		275,000		283,453
Government of Guam, 5.00% due 11/15/2018 (Economic Development)		A/NR		400,000		418,644
Government of Guam, 5.00% due 1/1/2019 (Economic Development)		A/NR		1,000,000		1,049,720
Guam Power Authority, 5.00% due 10/1/2020 (Electric Power System; Insured: AGM)		AA/A2		300,000		329,847
IDAHO — 0.69%
State of Idaho GO, 2.00% due 6/30/2017		SP-1+/Mig1		500,000		501,330
ILLINOIS — 11.99%
Chicago O’Hare International Airport, 5.00% due 1/1/2018 (2016 Airport Projects)		A/NR		500,000		514,860
Chicago O’Hare International Airport, 5.00% due 1/1/2019 (2016 Airport Projects)		A/NR		500,000		533,065
Chicago Park District GO, 5.00% due 1/1/2020 (Capital Improvement Plan)		AA+/Ba1		500,000		539,510
Chicago Transit Authority, 5.00% due 12/1/2017 (Rail Car and Rail System Improvements)		AA/A1		1,165,000		1,191,982
City of Chicago, 5.00% due 1/1/2020		AA/NR		600,000		636,642
County of Cook GO, 5.00% due 11/15/2019 (Capital Improvement Plan)		AA-/A2		615,000		662,669

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Du Page County High School District No. 88, 3.00% due 1/15/2020 (Addison Trail and Willowbrook High Schools)		NR/Aa1	$	1,245,000	$	1,296,630
Illinois Finance Authority, 5.00% due 11/15/2017 (Rush University Medical Center)		A+/A1		1,000,000		1,024,420
Illinois Finance Authority, 5.00% due 8/15/2018 (Silver Cross Hospital and Medical Centers)		NR/Baa1		500,000		522,800
Illinois Finance Authority, 5.00% due 11/15/2018 (Rush University Medical Center)		A+/A1		500,000		529,660
State of Illinois, 4.00% due 6/15/2019 (Build Illinois Program)		AAA/Baa2		520,000		549,229
State of Illinois, 5.00% due 6/15/2020 (Build Illinois Program)		AAA/NR		535,000		589,436
Town of Cicero GO, 5.00% due 1/1/2018 (Cicero and Laramie Development Areas; Insured: AGM)		AA/A2		125,000		128,390
INDIANA — 1.56%
City of Evansville, 5.00% due 1/1/2018 (Waterworks District; Insured: BAM)		AA/NR		810,000		833,458
Hammond Multi-School Building Corp., 4.00% due 7/15/2017 (Educational Facilities) (State Aid Withholding)		AA+/NR		300,000		302,721
KANSAS — 3.25%
Kansas DFA, 5.00% due 12/1/2018 (Department of Commerce Impact Program)		A+/A3		1,250,000		1,319,937
Topeka Public Building Commission, 5.00% due 6/1/2018 (10th and Jackson Projects; Insured: Natl-Re)		AA-/A3		1,000,000		1,045,210
KENTUCKY — 2.87%
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2019 (Project No. 112)		A/Aa3		1,000,000		1,088,250
b Louisville/Jefferson County Metropolitan Government, 1.50% due 10/1/2033 (Louisville Gas and Electric Company)		NR/NR		1,000,000		1,000,490
LOUISIANA — 0.14%
City of New Orleans, 5.00% due 12/1/2017 (Water System Facilities Capital Improvement Program)		A-/NR		100,000		102,527
MASSACHUSETTS — 2.77%
City of Quincy GO, 2.00% due 6/16/2017 (Capital Improvements)		SP-1+/NR		500,000		501,120
Massachusetts Housing Finance Agency, 2.00% due 6/1/2019 (Low and Moderate Income Housing)		AA-/Aa3		1,500,000		1,509,840
MICHIGAN — 3.20%
Berkley School District GO, 4.00% due 5/1/2018 (Educational Facilities; Insured: Q-SBLF)		AA-/NR		1,000,000		1,031,510
Charles Stewart Mott Community College GO, 5.00% due 5/1/2018 (Higher Education Facilities)		A+/NR		750,000		782,077
Michigan Finance Authority, 5.00% due 5/1/2018 (School District of the City of Detroit; Insured: Q-SBLF)		AA-/NR		250,000		260,183
Northville Public Schools GO, 5.00% due 5/1/2017 (Educational Facilities; Insured: Q-SBLF)		NR/Aa1		250,000		250,865
MISSOURI — 2.75%
Missouri Health and Educational Facilities Authority, 0.90% due 9/1/2030 put 4/3/2017 (Washington University; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)		AAA/Aaa		2,000,000		2,000,000
NEVADA — 0.49%
City of Reno GO, 5.00% due 6/1/2017 (Fire Protection Projects)		A-/A1		200,000		201,368
Washoe County School District GO, 5.25% due 6/1/2017 (Educational Facilities; Insured: AGM)		AA/Aa3		150,000		151,115
NEW JERSEY — 8.39%
Essex County Improvement Authority GO, 4.00% due 10/1/2017 (County Correctional Facility)		NR/Aa2		545,000		552,859
New Jersey EDA, 5.00% due 6/15/2019		BBB+/Baa1		550,000		579,997
New Jersey EDA, 5.50% due 12/15/2019 (School Facilities Construction; Insured: AMBAC)		BBB+/Baa1		200,000		215,468
New Jersey Health Care Facilities Financing Authority, 5.00% due 1/1/2018 (Hackensack University Medical Center; Insured: AGM)		AA/A2		150,000		154,309
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2017 (Student Loans)		AA/Aa2		515,000		527,381
New Jersey Transit Corp., 5.00% due 9/15/2019 (Urban Public Transportation Capital Improvement)		A/A3		1,250,000		1,323,737
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2020 (State Transportation System Improvements)		A+/Baa1		500,000		532,725
New Jersey Transportation Trust Fund Authority, 5.50% due 12/15/2020 (State Transportation System Improvements; Insured: Natl-Re)		AA-/A3		2,000,000		2,210,840
NEW MEXICO — 1.39%
County of Taos, 3.00% due 4/1/2018 (County Educational Improvements; Insured: BAM)		AA/NR		1,000,000		1,013,140
NEW YORK — 7.18%
City of New York GO, 5.00% due 8/1/2017 (Capital Projects)		AA/Aa2		500,000		506,995
City of New York GO, 5.00% due 8/1/2019 (Capital Projects)		AA/Aa2		450,000		489,492
Lake Placid Central School District GO, 5.00% due 6/15/2017 (Educational Facilities; Insured: Natl-Re) (State Aid Withholding)		NR/Aa3		200,000		201,666
Monroe County Industrial Development Corp., 4.00% due 1/15/2018 (Monroe Community College Association; Insured: AGM)		AA/A2		200,000		204,356
New York City Municipal Water Finance Authority, 0.96% due 6/15/2048 put 4/3/2017 (Water & Sewer System; SPA: Mizuho Bank, Ltd.) (daily demand notes)		AA+/Aa1		600,000		600,000

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
New York City Municipal Water Finance Authority, 0.95% due 6/15/2050 put 4/3/2017 (Water & Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)		AA+/Aa1	$	700,000	$	700,000
New York City Transitional Finance Authority, 0.96% due 11/1/2022 put 4/3/2017 (World Trade Center Recovery; SPA: Landesbank Hessen-Thuringen) (daily demand notes)		AAA/Aa1		400,000		400,000
New York City Transitional Finance Authority, 0.96% due 8/1/2031 put 4/3/2017 (City Capital Projects; SPA: Landesbank Hessen-Thuringen) (daily demand notes)		AAA/Aaa		500,000		500,000
New York City Transitional Finance Authority, 0.90% due 8/1/2039 put 4/3/2017 (City Capital Projects; SPA: U.S. Bank, N.A.) (daily demand notes)		AAA/Aa1		500,000		500,000
Tobacco Settlement Asset Securitization Corp., 5.00% due 6/1/2021		A/NR		1,000,000		1,116,570
NORTH CAROLINA — 1.04%
State of North Carolina, 4.00% due 3/1/2023 (Federal Aid Highway Projects)		AA/A2		750,000		758,947
OKLAHOMA — 1.85%
Oklahoma DFA, 5.00% due 8/15/2018 (INTEGRIS Health)		AA-/Aa3		270,000		284,834
Tulsa County Industrial Authority, 5.50% due 9/1/2018 (Jenks Public Schools)		AA-/NR		1,000,000		1,062,250
OREGON — 0.69%
State of Oregon GO, 2.00% due 6/30/2017 (Cash Management)		SP-1+/Mig1		500,000		501,530
PENNSYLVANIA — 9.12%
City of Philadelphia, 5.00% due 10/1/2017 (Pennsylvania Gas Works)		A/Baa1		200,000		203,848
City of Philadelphia, 5.00% due 7/1/2018 (Pennsylvania Gas Works)		AA/A2		350,000		366,401
City of Philadelphia, 5.00% due 10/1/2020 (Pennsylvania Gas Works)		A/Baa1		500,000		552,690
Coatesville Area School District GO, 5.00% due 8/1/2021 (Insured: AGM) (State Aid Withholding)		AA/A2		1,000,000		1,124,040
East Allegheny School District GO, 2.00% due 4/1/2017 (Insured: BAM) (State Aid Withholding)		AA/Ba1		300,000		300,000
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.95% due 7/1/2041 put 4/3/2017 (The Children’s Hospital of Philadelphia; SPA: Wells Fargo Bank, N.A.) (daily demand notes)		AA/Aa2		1,300,000		1,300,000
Lancaster County Hospital Authority, 5.00% due 11/1/2018 (Masonic Villages Project)		A/NR		1,500,000		1,581,165
Lehigh County IDA, 0.90% due 2/15/2027 put 8/15/2017 (PPL Electric Utilities Corp.)		A/A1		1,000,000		999,890
Wilson School District GO, 3.00% due 6/1/2017 (State Aid Withholding)		AA/NR		200,000		200,722
SOUTH CAROLINA — 1.55%
City of North Charleston Public Facilities Corp. COP, 5.00% due 10/1/2017 (Convention Center Complex)		AA-/NR		300,000		306,153
Kershaw County Public Schools Foundation, 4.00% due 12/1/2017 (Kershaw County School District)		A-/A1		500,000		510,250
Piedmont Municipal Power Agency, 5.00% due 1/1/2018 (Catawba Project)		AA/A3		300,000		308,940
TEXAS — 9.13%
City of Dallas GO, 5.00% due 2/15/2021 (Trinity River Corridor Infrastructure)		AA-/A1		1,000,000		1,112,610
City of Houston, 4.00% due 9/1/2017 (Convention & Entertainment Facilities Department)		A-/A2		200,000		202,492
City of Houston, 4.00% due 9/1/2018 (Convention & Entertainment Facilities Department)		A-/A2		675,000		701,656
City of Houston Higher Education Finance Corp., 5.00% due 8/15/2018 (KIPP Program; Guaranty: PSF)		AAA/NR		970,000		1,022,428
City of San Antonio, 2.25% due 2/1/2033 (Electric and Gas Systems)		AA-/NR		1,000,000		1,020,260
Coastal Water Authority, 4.00% due 12/15/2017 (City of Houston Projects)		AA/NR		905,000		924,874
Dallas Independent School District GO, 5.00% due 2/15/2036 put 2/15/2020 (School District Buildings Renovations; Insured: PSF-GTD)		AAA/Aaa		325,000		355,342
Harris County Cultural Education Facilities Finance Corp., 0.95% due 9/1/2031 put 4/3/2017 (Texas Medical Center; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes)		AA+/Aa1		1,300,000		1,300,000
WASHINGTON — 1.64%
King County Public Hospital District No. 2 GO, 5.00% due 12/1/2018 (Evergreen Health)		NR/Aa3		835,000		888,240
Ocean Beach School District No. 101 GO, 4.00% due 12/1/2017 (Educational Facilities)		NR/A1		300,000		305,949
WEST VIRGINIA — 0.28%
Mason County, 1.625% due 10/1/2022 put 10/1/2018 (Appalachian Power Company)		A-/Baa1		200,000		199,984
WISCONSIN — 1.00%
Wisconsin Health & Educational Facilities Authority, 1.25% due 8/15/2025 put 8/15/2017 (Aurora Health Care, Inc.)		NR/A2		725,000		724,913
TOTAL INVESTMENTS — 98.06% (Cost $71,188,276)					$	71,290,507
OTHER ASSETS LESS LIABILITIES — 1.94%						1,413,771
NET ASSETS — 100.00%					$	72,704,278

10    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.

a Segregated as collateral for a when-issued security.

b When-issued security.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

AGM	Insured by Assured Guaranty Municipal Corp.
AMBAC	Insured by American Municipal Bond Assurance Corp.
BAM	Insured by Build America Mutual Insurance Co.
COP	Certificates of Participation
DFA	Development Finance Authority
EDA	Economic Development Authority
ETM	Escrowed to Maturity

GO	General Obligation
IDA	Industrial Development Authority
JEA	Jacksonville Electric Authority
Natl-Re	Insured by National Public Finance Guarantee Corp.
PSF	Guaranteed by Permanent School Fund
Q-SBLF	Insured by Qualified School Bond Loan Fund

See notes to financial statements.

Semi-Annual Report    11

Statement of Assets and Liabilities
Thornburg Low Duration Municipal Fund	March 31, 2017, (Unaudited)

ASSETS
Investments at value (cost $71,188,276) (Note 3)	$	71,290,507
Cash		662,897
Receivable for fund shares sold		1,399,950
Interest receivable		663,751
Prepaid expenses and other assets		35,955
Total Assets		74,053,060
LIABILITIES
Payable for investments purchased		1,253,909
Payable for fund shares redeemed		56,971
Payable to investment advisor and other affiliates (Note 4)		7,321
Accounts payable and accrued expenses		28,759
Dividends payable		1,822
Total Liabilities		1,348,782
NET ASSETS	$	72,704,278
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(192	)
Net unrealized appreciation on investments		102,231
Accumulated net realized gain (loss)		(41,956	)
Net capital paid in on shares of beneficial interest		72,644,195
	$	72,704,278
NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($22,265,414 applicable to 1,805,450 shares of beneficial interest outstanding - Note 5)	$	12.33
Maximum sales charge, 1.50% of offering price		0.19
Maximum offering price per share	$	12.52
Class I Shares:
Net asset value, offering and redemption price per share ($50,438,864 applicable to 4,091,661 shares of beneficial interest outstanding - Note 5)	$	12.33

See notes to financial statements.

12    Semi-Annual Report

Statement of Operations
Thornburg Low Duration Municipal Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Interest income (net of premium amortized of $615,403)	$	383,156
EXPENSES
Investment advisory fees (Note 4)		127,770
Administration fees (Note 4)
Class A Shares		10,976
Class I Shares		11,581
Distribution and service fees (Note 4)
Class A Shares		17,914
Transfer agent fees
Class A Shares		12,949
Class I Shares		4,953
Registration and filing fees
Class A Shares		11,539
Class I Shares		12,686
Custodian fees (Note 2)		13,345
Professional fees		20,827
Accounting fees (Note 4)		728
Trustee fees		1,298
Other expenses		5,292
Total Expenses		251,858
Less:
Expenses reimbursed by investment advisor (Note 4)		(68,468	)
Investment advisory fees waived by investment advisor (Note 4)		(14,521	)
Net Expenses		168,869
Net Investment Income		214,287
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments		(18,623	)
Net change in unrealized appreciation (depreciation) on investments		60,804
Net Realized and Unrealized Gain		42,181
Net Increase in Net Assets Resulting from Operations	$	256,468

See notes to financial statements.

Semi-Annual Report    13

Statements of Changes in Net Assets

Thornburg Low Duration Municipal Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	214,287		$	189,076
Net realized gain (loss) on investments		(18,623	)		(18,130	)
Net unrealized appreciation (depreciation) on investments		60,804			(17,236	)
Net Increase (Decrease) in Net Assets Resulting from Operations		256,468			153,710
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(55,408	)		(9,876	)
Class I Shares		(159,071	)		(179,200	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		17,972,715			971,622
Class I Shares		11,876,098			(3,150,597	)
Net Increase (Decrease) in Net Assets		29,890,802			(2,214,341	)
NET ASSETS
Beginning of Period		42,813,476			45,027,817
End of Period	$	72,704,278		$	42,813,476
Distribution in excess of net investment income	$	(192	)	$	—

* Unaudited.

See notes to financial statements.

14    Semi-Annual Report

Notes to Financial Statements
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg Low Duration Municipal Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to seek current income exempt from federal income tax consistent with preservation of capital.

The Fund currently offers two classes of shares of beneficial interest: Class A and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Semi-Annual Report    15

Notes to Financial Statements, Continued
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	71,188,276
Gross unrealized appreciation on a tax basis	$	145,856
Gross unrealized depreciation on a tax basis		(43,625	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	102,231

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $1,645. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $21,688, (of which $1,073 are short-term and $20,615 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

16    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities
Municipal Bonds	$	71,290,507	$	—	$	71,290,507	$	—
Total Investments in Securities	$	71,290,507	$	—	$	71,290,507	$	—

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017.

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $ 1 billion		0.400	%
Next $ 500 million		0.300
Next $ 500 million		0.250
Over $ 2 billion		0.225

The Fund’s effective management fee for the six months ended March 31, 2017 was 0.40% of the Fund’s average net assets (before applicable management fee waiver of $14,521).

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $728 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $128 from the sale of Class A shares.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I shares. The Advisor and the Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor voluntarily waived Fund level investment advisory fees of $14,521. The Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $39,248 for Class A shares and $29,220 for Class I shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by Trustees and Officers of the Trust and the Advisor is approximately 44.73%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had transactions with affiliated funds of $3,358,907 in purchases.

18    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		2,887,118		$	35,513,788			179,515		$	2,217,348
Shares issued to shareholders in reinvestment of dividends		4,426			54,550			796			9,845
Shares repurchased		(1,429,719	)		(17,595,623	)		(101,677	)		(1,255,571	)
Net increase (decrease)		1,461,825		$	17,972,715			78,634		$	971,622
Class I Shares
Shares sold		1,972,253		$	24,262,786			1,018,022		$	12,579,199
Shares issued to shareholders in reinvestment of dividends		12,452			153,404			14,105			174,307
Shares repurchased		(1,018,677	)		(12,540,092	)		(1,287,521	)		(15,904,103	)
Net increase (decrease)		966,028		$	11,876,098			(255,394	)	$	(3,150,597	)

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $31,764,518 and $11,515,430, respectively.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    19

Financial Highlights

    Thornburg Low Duration Municipal Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																	RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+		NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS		DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS	TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)		PORTFOLIO TURNOVER RATE (%)(a)	NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	12.34		0.04		(0.02	)		0.02		(0.03	)	—		(0.03	)	$12.33		0.63	(e)		0.63	(e)		0.63	(e)		1.13	(e)		0.17	23.48	$	22,265
2016(c)	$	12.35		0.03		(0.01	)		0.02		(0.03	)	—		(0.03	)	$12.34		0.24			0.70			0.70			2.19			0.15	21.17	$	4,241
2015(c)	$	12.34		0.02		0.01			0.03		(0.02	)	—		(0.02	)	$12.35		0.15			0.67			0.67			2.85			0.22	20.53	$	3,273
2014(c)(d)	$	12.31		0.02		0.03			0.05		(0.02	)	—		(0.02	)	$12.34		0.20	(e)		0.66	(e)		0.65	(e)		3.14	(e)		0.40	4.54	$	2,751
CLASS I SHARES
2017(b)	$	12.34		0.04		(0.01	)		0.03		(0.04	)	—		(0.04	)	$12.33		0.69	(e)		0.49	(e)		0.49	(e)		0.66	(e)		0.25	23.48	$	50,439
2016	$	12.35		0.05		(0.01	)		0.04		(0.05	)	—		(0.05	)	$12.34		0.43			0.50			0.50			0.72			0.36	21.17	$	38,572
2015	$	12.34		0.04		0.01			0.05		(0.04	)	—		(0.04	)	$12.35		0.32			0.50			0.50			0.82			0.40	20.53	$	41,755
2014(d)	$	12.31		0.04		0.03			0.07		(0.04	)	—		(0.04	)	$12.34		0.42	(e)		0.44	(e)		0.44	(e)		1.77	(e)		0.56	4.54	$	12,672

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Fund commenced operations on December 30, 2013.

(e) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

20    Semi-Annual Report Semi-Annual Report    21

Expense Example
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
Class A Shares
Actual	$	1,000.00	$	1,001.66	$	3.17
Hypothetical*	$	1,000.00	$	1,021.77	$	3.20
Class I Shares
Actual	$	1,000.00	$	1,002.54	$	2.44
Hypothetical*	$	1,000.00	$	1,022.50	$	2.46

† Expenses are equal to the annualized expense ratio for each class (A: 0.63%; I: 0.49%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

22    Semi-Annual Report

Other Information
Thornburg Low Duration Municipal Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www. sec. gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    23

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

24    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    25

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26    Semi-Annual Report

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Semi-Annual Report    27

To receive shareholder reports, prospectuses, and proxy statements electronically, go to www.thornburg.com/edelivery.   This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH3053

About Thornburg Investment Management

It’s more than what we do.

It’s how we do it.

At Thornburg, we are very different in how we think, invest, and are structured We believe this difference is what makes us successful in helping individuals reach their long-term financial goals.

Flexible Perspective Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value.

Collaboration Collectively, we hone ideas via borderless cross-pollination for better judgment and better results.

Convention

Portfolio Construction Disciplined construction guided more by our convictions than Convention.

CONVICTION Thorough analysis and our relative-value framework lead to conviction in our securities selection

UNCONVENTIONAL Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point.

Structured for Excellence How we think and how we invest is made possible by how we’re structured.

TEAM APPROACH

FAR FROM THE HERD

ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg Limited Term Municipal Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	41
Statement of Operations	42
Statements of Changes in Net Assets	43
Notes to Financial Statements	44
Financial Highlights	50
Expense Example	52
Other Information	53
Trustees’ Statement to Shareholders	54

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	LTMFX	885-215-459
Class C	LTMCX	885-215-442
Class I	LTMIX	885-215-434

Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Semi-Annual Report    3

Letter to Shareholders

Thornburg Limited Term Municipal Fund March 31, 2017 (Unaudited)

April 28, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg Limited Term Municipal Fund. The net asset value (NAV) of the Class A shares decreased by 32 cents to $14.31 per share during the six-month period ended March 31, 2017. If you were with us the entire period, you received dividends of 11.54 cents per share. If you reinvested your dividends, you received 11.57 cents per share. Dividends were lower for Class C shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund underperformed the index with a negative 1.40% total return (without sales charge) for the six months ended March 31, 2017, compared to the negative 0.90% return for the BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index.

The Fund’s duration and curve positioning detracted 0.08% from relative performance while ratings factors detracted 0.07%. Other risk factors added 0.01% to relative performance. Fund expenses accounted for any remaining differences.

The Municipal Bond Market

After a few years of relative quiet in the municipal bond market, things heated up following the election of Donald Trump in 2016. While stocks were rallying, bond prices, particularly municipal bond prices, came under pressure. Bond yields initially rose after the election based on expectations for greater infrastructure spending, stronger growth and higher inflation. The uptick in rates led mutual fund investors to sell their shares, which caused municipal bond mutual funds to sell their bonds to meet those redemptions. After significant inflows in January to September of 2016, investors pulled $26 billion from municipal bond funds in November and December, some of which was related to tax-loss selling.

When the calendar turned in 2017, these outflows slowed and the municipal bond market produced positive returns. A contributing factor to positive returns was a decline in municipal bond issuance, as during the first quarter of 2017, the supply of new municipal bonds declined by 12% from the same time last year.

The value metrics we use at Thornburg suggest that the municipal bond market continues to price in the rosiest of scenarios moving forward, as investors have been pushed out of the risk spectrum. That is why we have Thornburg Limited Term Municipal Fund positioned in the lower end of its respective risk spectrum. In this environment, we continue to keep duration shorter, credit quality higher and we maintain higher levels of reserves.

Inside the Risk Metrics

Real yields, which indicate how much yield over inflation investors are being paid to own municipal bonds, increased over the six-month period. As of September 30, 2016, 10-year AAA general obligation (GO) bonds were yielding 1.64% and the Core Personal Consumption Expenditures Index (PCE) was running at 1.70%, so investors were earning less than inflation. By the end of February 2017, the yield on 10-year AAA GO bonds had increased to 2.30%, while Core PCE was running at 1.80%. While certainly more interesting at the end of the period, the 0.5% real yield was significantly less than the average of 2% investors have earned over the past 20 years.

The second thing to consider is credit spreads, which reflect the incremental yield an investor earns from owning a lower-rated credit versus a higher-rated credit, and which today remain narrow. As of March 31, 2017, an investor earned about 1.28% more for owning a 10-year BBB revenue bond versus a 10-year AAA GO bond. That is slightly higher than the average 0.75% an investor earned between 1994 and 2007. However, in 2007, approximately 50% of the new-issue municipal bond market was insured by AAA/AAA municipal bond insurers. Today, there are no AAA/AAA municipal bond insurers, and insurance coverage generally accounts for only 6% to 8% of the new-issue municipal bond market.

Finally, the slope of the yield curve, which tracks how much incremental yield an investor earns by owning securities with longer maturities, is slightly flatter than historical averages. Currently, investors are earning about 1.4% more for owning a 10-year AAA GO municipal bond, versus a one-year AAA GO municipal bond. Since 1994, an investor earned on average almost 1.6% to extend maturities from one to 10 years.

The Economy and Tax Reform

The U.S. economy continued its slow recovery in 2016, growing at a rate of 1.6% for 2016 in aggregate.

Unemployment continued to tick down. During the six-month period ended March 31, 2017, the U.S. economy added 976,000 jobs and by the end of the period the unemployment rate had fallen to 4.5%. Inflation remained stable, with the Core PCE Index reading 1.75% through March, below the Fed’s 2% target range.

Taken in aggregate, the economy continues to grow, jobs are being added and inflation has remained contained to date. In an effort to keep the economy in check, the U.S. Federal Reserve raised the Fed funds rate in December of 2016, and again in March of 2017.

The economic health of the municipal bond market appears steady with a couple of notable exceptions. The drama in

4    Semi-Annual Report

Letter to Shareholders, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

Puerto Rico is still playing out; the only winners are the consultants and lawyers hired by all sides.

Elsewhere, Bloomberg provides a heat map of the economic health of U.S. states, covering the period from the fourth quarter of 2015 through the fourth quarter of 2016 (the most recent data available). The majority of the states appear healthy except those with heavy dependence on oil, gas, and coal. The energy-dependent states should improve if oil can maintain prices above $50/barrel.

Tax reform is the second highest priority of President Trump’s and the Republican-led House agenda—second only to health care reform. The most important items in the tax proposals for the owners of municipal bonds (individuals as well as corporations) are those relevant to investment income. By lowering the effective tax rate on competing sources of income, prices of municipal bonds would most likely fall (yields would increase) to become more competitive with these alternative sources of income. There are a number of proposals that have been brought forth, and we believe that if tax reform is enacted, it will be something different than any one of these specific proposals.

President Trump’s tax reform proposal (released Thursday, April 27, 2017) called for the elimination of the deduction for state and local taxes on an individual’s federal tax return. This would, if adopted, have significant impacts for residents of high-tax states. The near-term effects on the economy would be minimal, but long term, residents would have less money in their pockets to spend, the cost of residing in high-tax states would increase and might cause out-migration and lower growth.

Conclusion

We continue to run this portfolio as an actively managed laddered portfolio. Laddering a portfolio is a simple way to diversify its investment along its entire investment universe. While past performance does not guarantee future results, our study showed that this structure outperformed other structures around 60% of the time and added 0.15% to 0.25% of total return annually from 1997 through 2016.* Our view is that the current investment environment is not compensating investors enough to take on extra risk, so we have positioned our portfolios at the lower end of their risk spectrums.

Thank you for your continued trust in us, and please know that the co-managers of this Fund are invested alongside you.

Sincerely,
Christopher Ryon,CFA	Nicholos Venditti,CFA
Portfolio Manager	Portfolio Manager
Managing Director	Managing Director

* We examined three hypothetical portfolios of bonds from December 1997 to December 2016. One using a laddering strategy, one using a barbell strategy, and a third using a bullet strategy. For the laddering strategy, the BofA Merrill Lynch 1–12 Year Municipal Index was used as a proxy, since, similar to a ladder, it contains bonds relatively evenly spread across all maturities within the index. The barbell strategy is a duration management technique wherein bonds are clustered at the two extremes of a maturity range. For the barbell strategy, the BofA Merrill Lynch 1–3 Year Municipal Index and BofA Merrill Lynch 8–12 Year Municipal Index were combined. The two indices were weighted in such a way as to give them the same duration as the broader 1–12 Year Index, and each year the portfolio was re-weighted back to the original index weights. This was done to make the two portfolios duration-neutral so that the impact of the strategy chosen could be isolated. The bullet strategy invests at the duration midpoint of the portfolio, therefore the BofA Merrill Lynch 6–8 Year Index was used to represent the bullet strategy. For additional information, see www.thornburg.com/whyladder. Past performance does not guarantee future results.

The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
A Shares (Incep: 9/28/84)
Without sales charge		-0.50	%		1.27	%		1.40	%		3.00	%		4.87	%
With sales charge		-1.98	%		0.76	%		1.09	%		2.84	%		4.82	%
C Shares (Incep: 9/1/94)
Without sales charge		-0.73	%		1.05	%		1.15	%		2.74	%		3.29	%
With sales charge		-1.22	%		1.05	%		1.15	%		2.74	%		3.29	%
I Shares (Incep: 7/5/96)		-0.19	%		1.58	%		1.73	%		3.34	%		3.88	%

30-DAY YIELDS, A SHARES

(with sales charge)

Annualized Distribution Yield	1.54	%
SEC Yield	1.04	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 1.50%. Class C shares include a 0.50% CDSC for the first year only. There is no sales charge for Class I shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 0.72%; C shares, 0.96%; I shares, 0.41%.

Glossary

The BofA Merrill Lynch 1-10 Year Municipal Securities Index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 years.

The BofA Merrill Lynch indices used in the Ladder vs Barbell & Bullet study are model portfolios of municipal obligations throughout the United States, with maturities ranging either from one to three years, six to eight years, eight to twelve years, or one to twelve years. These indices are subsets of the BofA Merrill Lynch U.S. Municipal Securities Index, which is comprised of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least a one-year remaining term to final maturity, a fixed coupon schedule and an investment grade rating.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.

Bond Credit Ratings (Credit Quality) – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Insured Bonds – Individual bonds are sometimes insured by private companies. The insurance guarantees the payment of principal and interest on a bond issue if the issuer defaults. Mutual funds are not insured, even if the underlying bonds are insured.

Core Personal Consumption Expenditure Index (Core PCE) – Core Personal Consumption Expenditure Index is a measure of the Personal Consumption Expenditure Index that excludes the more volatile and seasonal food and energy prices.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.

General Obligation Bond (GO) – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.

Laddering – Laddering involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.

Revenue Bond – A bond on which the debt service is payable solely from the revenue generated from the operation of the project being financed or a category of facilities, or from other non-tax sources.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

6    Semi-Annual Report

Fund Summary
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal individual income tax as is consistent, in the view of the Fund’s investment advisor, with preservation of capital (may be subject to Alternative Minimum Tax).

The secondary goal of the Fund is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.

This Fund is a laddered portfolio of municipal bonds with a dollar-weighted average maturity of normally less than five years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.

LONG-TERM STABILITY OF PRINCIPAL

Net Asset Value History of A Shares

Lipper Best Short-Intermediate Municipal Debt Fund (Class I Shares)

10-year period ended 11/30/16, among 41 funds.

Lipper Fund Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance (calculated with dividends reinvested and without sales charge). Fund Classification Awards are given for three-year, five-year, and ten-year periods. Thornburg did not win the award for any other time period. Past performance does not guarantee future results. From Thomson Reuters Lipper Awards, ^© 2017 Thomson Reuters. All rights reserved. Used by permission and protected by the Copyright Laws of the United States. The printing, copying, redistribution or retransmission of this Content without express permission is prohibited.

SECURITY CREDIT RATINGS

A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.

PORTFOLIO LADDER

KEY PORTFOLIO ATTRIBUTES

Number of Bonds	1,928
Effective Duration	3.5 Yrs
Average Maturity	4.2 Yrs

There is no guarantee that the Fund will meet its investment objectives.

All data is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    7

Schedule of Investments
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
ALABAMA — 1.16%
Alabama Public School & College Authority, 5.00% due 6/1/2019 (Education System Capital Improvements)		AA/Aa1	$	770,000	$	834,256
Alabama Public School & College Authority, 5.00% due 6/1/2019 (Education System Capital Improvements)		AA/Aa1		4,840,000		5,243,898
Alabama Public School & College Authority, 5.00% due 6/1/2020 (Education System Capital Improvements)		AA/Aa1		5,085,000		5,658,893
Alabama Public School & College Authority, 5.00% due 6/1/2021 (Education System Capital Improvements)		AA/Aa1		5,335,000		6,081,740
Alabama Public School & College Authority, 5.00% due 6/1/2022 (Education System Capital Improvements)		AA/Aa1		5,605,000		6,505,835
Alabama Public School & College Authority, 5.00% due 6/1/2023 (Education System Capital Improvements)		AA/Aa1		735,000		865,389
Alabama State Board of Education, 3.00% due 5/1/2017 (Calhoun Community College)		NR/A1		2,070,000		2,073,188
Alabama State Board of Education, 3.00% due 5/1/2018 (Calhoun Community College)		NR/A1		2,130,000		2,163,739
Alabama State Board of Education, 4.00% due 5/1/2019 (Calhoun Community College)		NR/A1		2,195,000		2,295,136
Alabama State Board of Education, 4.00% due 5/1/2020 (Calhoun Community College)		NR/A1		1,000,000		1,062,290
Alabama State Board of Education, 4.00% due 5/1/2021 (Calhoun Community College)		NR/A1		1,000,000		1,074,110
Alabama State Board of Education, 4.00% due 5/1/2022 (Calhoun Community College)		NR/A1		1,230,000		1,328,966
City of Birmingham GO, 4.00% due 8/1/2017 (Government Services)		AA/Aa2		2,760,000		2,789,891
City of Birmingham GO, 5.00% due 2/1/2018 (Government Services)		AA/Aa2		2,000,000		2,068,540
City of Mobile GO, 5.00% due 2/15/2019 pre-refunded 2/15/2018		NR/NR		1,205,000		1,247,898
City of Mobile GO, 5.00% due 2/15/2019		AA-/Aa2		795,000		822,276
City of Mobile Industrial Development Board, 1.85% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant)		A-/A1		20,000,000		20,052,000
East Alabama Health Care Authority GO, 5.00% due 9/1/2021		A/NR		1,245,000		1,397,413
East Alabama Health Care Authority GO, 5.00% due 9/1/2022		A/NR		800,000		899,856
Montgomery Waterworks and Sanitation, 5.00% due 9/1/2019		AAA/Aa1		3,375,000		3,555,697
UAB Medicine Finance Authority, 5.00% due 9/1/2025 (University Hospital)		AA-/A1		1,670,000		1,975,794
UAB Medicine Finance Authority, 5.00% due 9/1/2026 (University Hospital)		AA-/A1		4,940,000		5,880,527
UAB Medicine Finance Authority, 5.00% due 9/1/2027 (University Hospital)		AA-/A1		2,305,000		2,699,916
University of Alabama at Birmingham Hospital, 5.25% due 9/1/2017 (ETM)		NR/A1		2,500,000		2,546,225
University of Alabama at Birmingham Hospital, 5.00% due 9/1/2018 (ETM)		NR/A1		1,700,000		1,795,319
ALASKA — 0.47%
Alaska Housing Finance Corp., 5.00% due 12/1/2018 pre-refunded 12/1/2017 (State Capital Project; Insured: Natl-Re)		AA-/Aa2		1,610,000		1,654,774
Alaska Housing Finance Corp., 5.00% due 12/1/2018 (State Capital Project; Insured: Natl-Re)		AA+/Aa2		390,000		400,409
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2017 (DeLong Mountain Transportation Project)		AA+/Aa3		3,000,000		3,000,000
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2018 (DeLong Mountain Transportation Project)		AA+/Aa3		2,455,000		2,552,857
City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project)		A-/A2		12,000,000		13,271,160
City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project)		A-/A2		3,700,000		4,091,941
North Slope Borough GO, 5.00% due 6/30/2017 (ETM)		AA-/Aa2		5,700,000		5,759,451
North Slope Borough GO, 5.00% due 6/30/2017		AA/Aa2		3,100,000		3,133,046
ARIZONA — 2.35%
Arizona Board of Regents, 5.00% due 8/1/2020 (University of Arizona SPEED)		A+/Aa3		575,000		641,838
Arizona Board of Regents, 5.00% due 8/1/2023 (University of Arizona SPEED)		A+/Aa3		800,000		939,184
Arizona Board of Regents, 5.00% due 8/1/2024 (University of Arizona SPEED)		A+/Aa3		550,000		651,057
Arizona Board of Regents COP, 5.00% due 7/1/2018 (Arizona State University; Insured: Natl-Re)		AA-/A1		1,285,000		1,297,477
Arizona Board of Regents COP, 3.00% due 9/1/2018 (Northern Arizona University Projects)		A/A2		1,000,000		1,024,110
Arizona Board of Regents COP, 5.00% due 7/1/2019 (Arizona State University; Insured: Natl-Re)		AA-/A1		3,735,000		3,771,939
Arizona Board of Regents COP, 3.00% due 9/1/2019 (Northern Arizona University Projects)		A/A2		2,525,000		2,612,264
Arizona Board of Regents COP, 5.00% due 9/1/2019 (Arizona State University)		AA-/A1		1,085,000		1,175,402
Arizona Board of Regents COP, 5.00% due 9/1/2020 (Northern Arizona University Projects)		A/A2		1,000,000		1,100,650
Arizona Board of Regents COP, 5.00% due 9/1/2020 (Arizona State University)		AA-/A1		3,170,000		3,508,683
Arizona Board of Regents COP, 5.00% due 9/1/2021 (Arizona State University)		AA-/A1		4,020,000		4,536,892
Arizona Board of Regents COP, 5.00% due 6/1/2022 (Arizona State University)		A+/Aa3		6,080,000		6,977,226
Arizona Board of Regents COP, 5.00% due 9/1/2022 (Northern Arizona University Projects)		A/A2		2,500,000		2,846,400
Arizona Board of Regents COP, 5.00% due 9/1/2022 (Arizona State University)		AA-/A1		4,380,000		4,997,317
Arizona Board of Regents COP, 5.00% due 9/1/2023 (Northern Arizona University Projects)		A/A2		3,325,000		3,784,515
Arizona Board of Regents COP, 5.00% due 9/1/2023 (Arizona State University)		AA-/A1		5,580,000		6,422,357
Arizona HFA, 5.25% due 1/1/2018 (Banner Health)		AA-/NR		3,500,000		3,612,420
Arizona HFA, 5.00% due 7/1/2018 (Dignity Health)		A/A3		1,470,000		1,539,634
Arizona HFA, 5.00% due 7/1/2019 (Dignity Health)		A/A3		1,365,000		1,477,558
Arizona HFA, 5.00% due 7/1/2020 (Dignity Health)		A/A3		1,290,000		1,390,685
Arizona HFA, 5.00% due 12/1/2022 (Scottsdale Lincoln Hospitals)		NR/A2		1,600,000		1,850,544
Arizona HFA, 5.00% due 12/1/2024 (Scottsdale Lincoln Hospitals)		NR/A2		1,500,000		1,766,955
Arizona School Facilities Board, 5.00% due 7/1/2017 (State School Land Trust; Insured: AMBAC)		NR/NR		2,965,000		2,995,480
Arizona School Facilities Board, 5.00% due 7/1/2018 (State School Land Trust; Insured: AMBAC)		NR/NR		4,540,000		4,757,375
Arizona School Facilities Board COP, 5.25% due 9/1/2023 pre-refunded 9/1/2018 (School Site and Building Projects)		AA-/Aa3		1,315,000		1,392,953
Arizona Transportation Board, 5.00% due 7/1/2019		AA+/Aa2		3,510,000		3,815,791
Arizona Transportation Board, 5.00% due 7/1/2021		AA+/Aa2		7,465,000		8,546,679
Arizona Transportation Board, 5.00% due 7/1/2022		AA+/Aa2		5,000,000		5,742,300
City of Glendale IDA, 5.00% due 5/15/2017 (Midwestern University)		A/NR		1,440,000		1,446,998

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
City of Phoenix Civic Improvement Corp., 5.00% due 7/1/2022		AA+/Aa3	$	1,250,000	$	1,448,500
City of Phoenix Civic Improvement Corp., 5.00% due 7/1/2023		AA+/Aa3		1,830,000		2,151,037
City of Phoenix Civic Improvement Corp., 5.00% due 7/1/2024		AA+/Aa3		2,000,000		2,380,720
City of Phoenix Civic Improvement Corp., 5.00% due 7/1/2025		AA+/Aa3		3,500,000		4,212,215
City of Tucson, 5.00% due 7/1/2022 (Street and Highway Projects)		AA+/A1		2,135,000		2,453,265
City of Yuma Municipal Property Corp., 5.00% due 7/1/2018 pre-refunded 7/1/2017 (Water and Wastewater System; Insured: Syncora)		A+/A1		2,130,000		2,152,386
Pima County, 4.50% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM)		AA/A2		5,040,000		5,087,578
Pima County, 5.00% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities)		AA/NR		2,750,000		2,779,370
Pima County, 3.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities)		AA/NR		500,000		512,890
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM)		AA/A2		5,000,000		5,253,550
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities)		AA/NR		2,000,000		2,101,420
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities)		AA/NR		700,000		735,497
Pima County, 5.00% due 7/1/2020 (Ina & Roger Road Wastewater Reclamation Facilities)		AA/NR		500,000		558,845
Pima County, 3.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities)		AA/NR		1,200,000		1,273,320
Pima County, 5.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities)		AA/NR		400,000		458,316
Pima County, 3.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities)		AA/NR		1,325,000		1,409,456
Pima County, 5.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities)		AA/NR		500,000		583,490
Pima County COP, 5.00% due 12/1/2017 (Sewer System & Fleet Services Facilities Expansion)		A+/NR		1,395,000		1,433,321
Pima County COP, 5.00% due 12/1/2018 (Sewer System & Fleet Services Facilities Expansion)		A+/NR		2,700,000		2,873,151
Pima County COP, 5.00% due 12/1/2019 (Sewer System & Fleet Services Facilities Expansion)		A+/NR		1,500,000		1,639,095
Pima County COP, 5.00% due 12/1/2020 (Sewer System & Fleet Services Facilities Expansion)		A+/NR		765,000		853,579
Pima County COP, 5.00% due 12/1/2021 (Sewer System & Fleet Services Facilities Expansion)		A+/NR		1,220,000		1,382,150
Pima County COP, 5.00% due 12/1/2022 (Sewer System & Fleet Services Facilities Expansion)		A+/NR		1,275,000		1,455,719
Pinal County, 5.00% due 8/1/2019 (Detention and Training Facilities)		AA-/NR		1,115,000		1,208,459
Pinal County, 5.00% due 8/1/2021 (Detention and Training Facilities)		AA-/NR		1,775,000		2,012,548
Pinal County, 5.00% due 8/1/2023 (Detention and Training Facilities)		AA-/NR		1,100,000		1,281,016
Pinal County, 5.00% due 8/1/2024 (Detention and Training Facilities)		AA-/NR		700,000		823,963
Pinal County, 5.00% due 8/1/2025 (Hunt Highway (Phases III-V), Ironwood Drive, Public Safety Radio & Court Buildings)		AA-/NR		3,000,000		3,524,130
Pinal County, 5.00% due 8/1/2025 (Detention and Training Facilities)		AA-/NR		1,500,000		1,778,205
Scottsdale IDA, 5.00% due 9/1/2019 (Scottsdale Healthcare)		NR/A2		6,885,000		7,256,308
State of Arizona Department of Administration, 5.00% due 7/1/2018 (State Lottery; Insured: AGM)		AA/A1		8,370,000		8,776,112
State of Arizona Department of Administration, 5.00% due 7/1/2020 (State Lottery; Insured: AGM)		AA/A1		8,705,000		9,664,813
ARKANSAS — 0.28%
Board of Trustees of the University of Arkansas, 3.00% due 11/1/2023 (Fayetteville Campus Athletic Facilities)		NR/Aa2		615,000		647,041
City of Fort Smith, 3.50% due 10/1/2017 (Water and Sewer System Construction; Insured: AGM)		AA/NR		1,930,000		1,954,241
City of Fort Smith, 4.00% due 10/1/2018 (Water and Sewer System Construction; Insured: AGM)		AA/NR		1,000,000		1,041,570
City of Fort Smith, 4.00% due 10/1/2019 (Water and Sewer System Construction; Insured: AGM)		AA/NR		1,670,000		1,773,540
Jefferson County, 4.00% due 6/1/2017 (Jefferson Regional Medical Center; Insured: AGM)		AA/NR		1,375,000		1,381,930
Jefferson County, 1.55% due 10/1/2017 (Entergy Arkansas, Inc. Project)		A/A2		10,000,000		10,024,700
Jefferson County, 4.50% due 6/1/2018 (Jefferson Regional Medical Center; Insured: AGM)		AA/NR		1,495,000		1,551,287
Jefferson County, 4.50% due 6/1/2019 (Jefferson Regional Medical Center; Insured: AGM)		AA/NR		1,580,000		1,682,036
CALIFORNIA — 8.88%
Alameda County COP, 5.00% due 12/1/2017 (Santa Rita Jail; Insured: AMBAC)		AA/NR		1,220,000		1,253,172
Alameda County Joint Powers Authority, 5.00% due 12/1/2021 (Alameda County Medical Center Highland Hospital)		AA/Aa1		1,000,000		1,154,130
Alameda County Joint Powers Authority, 5.00% due 12/1/2022 (Alameda County Medical Center Highland Hospital)		AA/Aa1		2,000,000		2,344,920
Alameda County Joint Powers Authority, 5.00% due 12/1/2023 (Alameda County Medical Center Highland Hospital)		AA/Aa1		3,200,000		3,796,640
Anaheim Public Financing Authority, 0% due 9/1/2022 (Public Improvements; Insured: AGM)		AA/A2		3,250,000		2,813,037
Brentwood Infrastructure Financing Authority, 5.00% due 11/1/2017 (Redevelopment Agency of the City of Brentwood; Insured: AGM)		AA/NR		965,000		987,195
Brentwood Infrastructure Financing Authority, 5.25% due 11/1/2018 (Redevelopment Agency of the City of Brentwood: Insured: AGM)		AA/NR		1,020,000		1,084,189
Brentwood Infrastructure Financing Authority, 5.25% due 11/1/2019 (Redevelopment Agency of the City of Brentwood; Insured: AGM)		AA/NR		725,000		794,578
Cabrillo USD GO, 0% due 8/1/2021 (Educational Facilities; Insured: AMBAC)		NR/NR		1,000,000		910,830
California Educational Facilities Authority, 5.00% due 4/1/2017 (Pitzer College)		NR/A2		1,460,000		1,460,000
California Educational Facilities Authority, 5.00% due 4/1/2021 (Chapman University)		NR/A2		4,870,000		5,475,925
California HFFA, 5.50% due 2/1/2019 (Community Developmental Disabilities Program; Insured: California Mtg Insurance)		AA-/NR		2,865,000		3,087,668
California HFFA, 5.75% due 2/1/2020 (Community Developmental Disabilities Program; Insured: California Mtg Insurance)		AA-/NR		1,975,000		2,213,857
California HFFA, 5.00% due 3/1/2020 (Dignity Health)		A/A3		4,400,000		4,844,048
California HFFA, 5.75% due 2/1/2021 (Community Developmental Disabilities Program; Insured: California Mtg Insurance)		AA-/NR		1,695,000		1,960,149
California HFFA, 5.00% due 3/1/2021 (Dignity Health)		A/A3		3,450,000		3,891,772
California HFFA, 5.25% due 3/1/2022 (Dignity Health)		A/A3		7,020,000		7,919,683
California HFFA, 5.00% due 7/1/2043 put 10/15/2020 (St. Joseph Health System)		AA-/Aa3		5,000,000		5,576,700
California School Cash Reserve Program Authority, 2.00% due 6/30/2017		SP-1+/NR		6,000,000		6,016,260

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
California State Economic Recovery GO, 5.00% due 7/1/2020 pre-refunded 7/1/2019	AA+/Aaa	$	4,200,000	$	4,564,938
California State Housing Finance Agency, 2.50% due 12/1/2017 (One Santa Fe Apartments Multi-Family Housing; Collateralized: GNMA)	NR/Aa1		595,000		595,678
California State Public Works Board, 5.00% due 9/1/2017 (Regents of University of California; Insured: Natl-Re) (ETM)	AA+/Aaa		3,000,000		3,053,040
California State Public Works Board, 5.00% due 11/1/2017 (California State University) (ETM)	A+/Aaa		3,000,000		3,074,040
California State Public Works Board, 5.00% due 11/1/2018 (California State University) (ETM)	A+/Aaa		2,700,000		2,870,370
California State Public Works Board, 5.00% due 4/1/2020 (California School for the Deaf Riverside Campus)	A+/A1		1,585,000		1,756,513
California State Public Works Board, 5.00% due 6/1/2020 (Yuba City Courthouse)	A+/A1		1,675,000		1,864,593
California State Public Works Board, 5.00% due 6/1/2020 (Coalinga State Hospital)	A+/A1		5,685,000		6,328,485
California State Public Works Board, 5.00% due 10/1/2020 (California State University)	A+/A1		1,000,000		1,122,720
California State Public Works Board, 5.00% due 11/1/2020 (Various Capital Projects)	A+/A1		1,500,000		1,687,485
California State Public Works Board, 5.00% due 4/1/2021 (California School for the Deaf Riverside Campus)	A+/A1		890,000		1,010,880
California State Public Works Board, 5.00% due 6/1/2021 (Yuba City Courthouse)	A+/A1		1,250,000		1,425,138
California State Public Works Board, 5.00% due 6/1/2021 (Coalinga State Hospital)	A+/A1		5,000,000		5,700,550
California State Public Works Board, 5.00% due 10/1/2021 (Various Capital Projects)	A+/A1		1,000,000		1,147,510
California State Public Works Board, 5.00% due 11/1/2021 (Various Capital Projects)	A+/A1		1,750,000		2,011,030
California State Public Works Board, 5.00% due 11/1/2021 (Laboratory Facility and San Diego Courthouse)	A+/A1		750,000		861,870
California State Public Works Board, 5.00% due 4/1/2022 (California School for the Deaf Riverside Campus)	A+/A1		500,000		577,550
California State Public Works Board, 5.00% due 6/1/2022 (Coalinga State Hospital)	A+/A1		11,555,000		13,388,432
California State Public Works Board, 5.00% due 11/1/2022 (Laboratory Facility and San Diego Courthouse)	A+/A1		10,075,000		11,759,540
California State Public Works Board, 5.00% due 6/1/2023 (Yuba City Courthouse)	A+/A1		1,900,000		2,230,828
California State Public Works Board, 5.00% due 11/1/2024 (Various Capital Projects)	A+/A1		4,500,000		5,380,065
California State Public Works Board, 5.00% due 11/1/2024 (Laboratory Facility and San Diego Courthouse)	A+/A1		2,050,000		2,410,001
California State Public Works Board, 5.00% due 11/1/2025 (Various Capital Projects)	A+/A1		12,145,000		14,643,469
California State Public Works Board, 5.00% due 11/1/2026 (Various Capital Projects)	A+/A1		12,080,000		14,625,618
California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Foundation Hospitals)	AA-/NR		27,000,000		29,071,980
California Statewide Communities Development Authority, 5.00% due 7/1/2020 pre-refunded 1/1/2019 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC)	NR/NR		1,280,000		1,331,021
Castaic Lake Water Agency COP, 0% due 8/1/2023 (Water System Improvement; Insured: AMBAC)	AA+/NR		10,125,000		8,614,856
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re)	AA-/NR		1,300,000		1,247,207
Central Valley Financing Authority, 5.00% due 7/1/2017 (Carson Ice)	AA-/Aa3		600,000		606,348
Central Valley Financing Authority, 5.00% due 7/1/2019 (Carson Ice)	AA-/Aa3		1,750,000		1,896,335
Chula Vista COP, 5.25% due 3/1/2018 (ETM)	AA-/NR		1,170,000		1,216,940
Chula Vista COP, 5.25% due 3/1/2019 (ETM)	AA-/NR		1,235,000		1,333,244
City of Los Angeles GO, 3.00% due 6/29/2017 (Cash Flow Management)	SP-1+/Mig1		48,800,000		49,039,120
City of Redding COP, 5.00% due 6/1/2020 pre-refunded 6/1/2018 (City Electric System; Insured: AGM)	NR/A2		2,290,000		2,398,363
City of Redding COP, 5.00% due 6/1/2020 (City Electric System; Insured: AGM)	NR/A2		1,665,000		1,742,073
Clovis USD GO, 0% due 8/1/2019 (Insured: Natl-Re)	AA/A3		2,685,000		2,592,072
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2018 (Educational Facilities; Insured: AGM)	AA/NR		3,000,000		3,170,250
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2019 (Educational Facilities; Insured: AGM)	AA/NR		3,000,000		3,273,420
County of Los Angeles COP, 0% due 9/1/2017 (Disney Parking Garage and Walt Disney Concert Hall; Insured: AMBAC)	AA/A1		1,200,000		1,195,500
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2020 (Bunker Hill Project)	AA/NR		1,730,000		1,915,594
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2020 (Bunker Hill Project)	AA/NR		3,805,000		4,266,699
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2021 (Bunker Hill Project)	AA/NR		360,000		407,815
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2021 (Bunker Hill Project)	AA/NR		5,805,000		6,637,321
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2022 (Bunker Hill Project)	AA/NR		1,645,000		1,887,391
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2022 (Bunker Hill Project)	AA/NR		5,000,000		5,777,900
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2023 (Bunker Hill Project)	AA/NR		450,000		523,175
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2023 (Bunker Hill Project)	AA/NR		6,875,000		8,044,506
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2024 (Bunker Hill Project)	AA/NR		4,775,000		5,594,676
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2024 (Bunker Hill Project)	AA/NR		5,150,000		6,066,545
County of Monterey COP, 5.00% due 8/1/2018 (2009 Refinancing Project; Insured: AGM)	AA/Aa3		2,260,000		2,378,944
County of Riverside, 3.00% due 10/11/2017	NR/Mig1		4,050,000		4,095,603
County of Solano COP, 5.00% due 11/15/2017 (1999 Capital Improvement Program)	AA/Aa3		1,580,000		1,618,663
County of Ventura COP, 5.25% due 8/15/2017 (Healthcare Clinic Facilities) (ETM)	AA+/NR		1,635,000		1,662,681
Escondido Union High School District GO, 0% due 11/1/2020 (Insured: Natl-Re)	AA-/A3		2,655,000		2,486,885
Irvine USD Community Facilities District No. 86-1, 5.25% due 9/1/2017 (Acquisition of Public Facilities; Insured: AGM)	AA/NR		5,000,000		5,088,150
Los Angeles Convention and Exhibition Center Authority, 5.00% due 8/15/2018 (ETM)	A+/NR		2,295,000		2,422,051
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects)	AA/Aa3		4,000,000		4,216,000
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2019 (Multiple Capital Projects)	AA/Aa3		17,935,000		19,520,633
Los Angeles USD COP, 5.00% due 10/1/2017 (Educational Facilities and Information Technology Infrastructure; Insured: AMBAC)	A+/A1		2,445,000		2,495,514
Los Angeles USD COP, 5.50% due 12/1/2018 (Educational Facilities and Information Technology Infrastructure)	A+/A1		4,600,000		4,936,030
Los Angeles USD COP, 5.50% due 12/1/2019 (Educational Facilities and Information Technology Infrastructure)	A+/A1		7,040,000		7,815,878
Los Angeles USD GO, 5.00% due 7/1/2018 pre-refunded 7/1/2017 (Educational Facilities and Information Technology Infrastructure; Insured: AGM)	AA/Aa2		4,000,000		4,042,240

10    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Los Angeles USD GO, 5.00% due 7/1/2022 (Educational Facilities and Information Technology Infrastructure)		AA-/Aa2	$	12,260,000	$	14,340,890
Los Angeles USD GO, 5.00% due 7/1/2023 (Educational Facilities and Information Technology Infrastructure)		AA-/Aa2		11,950,000		14,220,380
Los Angeles USD GO, 5.00% due 7/1/2024 (Educational Facilities and Information Technology Infrastructure)		AA-/Aa2		10,640,000		12,831,946
Metropolitan Water District of Southern California, 1.07% due 7/1/2030		AAA/Aa1		8,500,000		8,500,000
Metropolitan Water District of Southern California, 1.07% due 7/1/2036		A-1+/Aa1		12,000,000		12,000,000
Mount San Antonio Community College GO, 0% due 8/1/2017 (Insured: Natl-Re) (ETM)		AA/Aa1		5,000,000		4,986,100
Needles USD GO, 0% due 8/1/2023		AA-/A3		1,005,000		860,210
North City West School Facilities Financing Authority, 5.00% due 9/1/2023 (Carmel Valley Educational Facilities; Insured: AGM)		AA/NR		4,545,000		5,276,200
Northern California Power Agency, 5.00% due 7/1/2017 (Hydroelectric Project)		A+/A1		1,000,000		1,010,580
Northern California Power Agency, 5.00% due 6/1/2018 (Lodi Energy Center)		A-/A2		4,480,000		4,689,126
Northern California Power Agency, 5.00% due 7/1/2019 (Hydroelectric Project)		A+/A1		1,000,000		1,084,550
Northern California Power Agency, 5.00% due 7/1/2020 (Hydroelectric Project)		A+/A1		1,325,000		1,434,260
Oakland State Building Authority, 5.00% due 12/1/2018 (Elihu M. Harris State Office Building)		A+/A1		7,240,000		7,715,451
Oakland USD GO, 5.00% due 8/1/2022 (Construction & Modernization Project; Insured: AGM)		AA/Aa3		2,240,000		2,621,875
Oakland USD GO, 5.00% due 8/1/2023 (Construction & Modernization Project; Insured: AGM)		AA/Aa3		1,290,000		1,534,532
Oakland USD GO, 5.00% due 8/1/2024 (Construction & Modernization Project; Insured: AGM)		AA/Aa3		1,500,000		1,807,755
Oakland USD GO, 5.00% due 8/1/2025 (Construction & Modernization Project; Insured: AGM)		AA/Aa3		1,750,000		2,128,875
Orange County Public Financing Authority, 5.00% due 7/1/2017 (Insured: Natl-Re)		AA/Aa2		1,245,000		1,257,886
Palo Alto USD GO, 0% due 8/1/2019		AAA/Aaa		1,000,000		968,980
Palomar Community College District GO, 0% due 8/1/2021		AA/Aa1		2,560,000		2,371,072
Rocklin USD GO, 0% due 8/1/2022 (Insured: Natl-Re)		AA-/Aa2		3,910,000		3,485,335
Sacramento City Financing Authority, 0% due 12/1/2019 (Merged Downtown & Oak Park; Insured: Natl-Re)		AA-/A3		2,920,000		2,781,884
Sacramento City Financing Authority, 0% due 12/1/2021 (Merged Downtown & Oak Park; Insured: Natl-Re)		AA-/A3		1,600,000		1,443,008
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities Improvements)		A+/Aa3		3,265,000		3,707,767
Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Procter & Gamble)		AA-/Aa3		750,000		758,070
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2020		AA-/NR		4,000,000		4,422,400
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2021		AA-/NR		3,000,000		3,399,870
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2022		AA-/NR		8,000,000		9,211,760
San Diego USD GO, 5.50% due 7/1/2020 (Educational System Capital Projects; Insured: Natl-Re)		AA-/Aa2		10,000,000		11,352,700
San Francisco Building Authority, 5.00% due 12/1/2018 (San Francisco Civic Center Complex)		A+/A1		13,130,000		13,992,247
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM)		AA/Aa2		7,600,000		7,099,616
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) (ETM)		AA-/A3		2,017,500		2,150,272
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re)		AA-/A3		2,017,500		2,141,132
Santa Ana USD GO, 0% due 8/1/2019 (Insured: Natl-Re)		AA-/A3		3,425,000		3,306,461
Santa Fe Springs Community Development Commission, 0% due 9/1/2024 (Consolidated Redevelopment Project; Insured: Natl-Re)		AA-/A3		7,000,000		5,543,510
South San Francisco USD GO, 4.00% due 6/15/2018 (Educational Facilities) (ETM)		SP-1+/NR		5,130,000		5,316,424
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC)		AA-/Aa3		2,000,000		2,000,000
State of California Economic Recovery GO, 5.00% due 7/1/2018 (ETM)		AA+/Aaa		3,105,000		3,262,051
State of California Economic Recovery GO, 5.00% due 7/1/2018 (ETM)		AA+/Aaa		895,000		940,269
State of California GO, 4.75% due 4/1/2018 (Various Purposes)		AA-/Aa3		1,250,000		1,298,375
State of California GO, 5.00% due 9/1/2020 (Various Purposes)		AA-/Aa3		10,000,000		11,220,400
State of California GO, 5.00% due 9/1/2021 (Various Purposes)		AA-/Aa3		5,000,000		5,736,500
State of California GO, 5.00% due 8/1/2026 (Various Purposes)		AA-/Aa3		17,850,000		21,629,380
State of California GO, 5.00% due 8/1/2027 (Various Purposes)		AA-/Aa3		12,445,000		14,916,204
Tuolumne Wind Project Authority, 5.00% due 1/1/2018		AA-/A2		2,000,000		2,062,660
Tuolumne Wind Project Authority, 5.00% due 1/1/2019		AA-/A2		2,000,000		2,138,400
Tustin Community Redevelopment Agency, 4.00% due 9/1/2017 (Tustin Redevelopment) (ETM)		A/NR		935,000		947,492
Tustin Community Redevelopment Agency, 4.00% due 9/1/2019 pre-refunded 9/1/2018 (Tustin Redevelopment)		A/NR		1,010,000		1,072,176
Tustin Community Redevelopment Agency, 4.00% due 9/1/2020 pre-refunded 9/1/2018 (Tustin Redevelopment)		A/NR		1,050,000		1,114,638
West Contra Costa USD GO, 0% due 8/1/2022 (Educational Facilities; Insured: AGM)		AA/Aa3		4,000,000		3,546,800
West Covina Redevelopment Agency, 6.00% due 9/1/2022 (Fashion Plaza)		NR/NR		6,075,000		6,855,334
COLORADO — 0.89%
City & County of Denver, 5.00% due 11/15/2017 (Airport System Capital Improvements; Insured: Natl-Re)		AA-/A1		1,000,000		1,025,310
City & County of Denver COP, 5.00% due 12/1/2020 (Buell Theatre Property)		AA+/Aa2		3,065,000		3,440,003
City & County of Denver COP, 5.00% due 12/1/2021 (Buell Theatre Property)		AA+/Aa2		3,825,000		4,381,117
City & County of Denver COP, 5.00% due 12/1/2023 (Buell Theatre Property)		AA+/Aa2		1,720,000		2,027,656
City & County of Denver School District No. 1 COP, 4.00% due 12/15/2019 (Eastbridge Elementary and Conservatory Green K-8 Schools)		NR/Aa3		400,000		425,848
City & County of Denver School District No. 1 COP, 4.00% due 12/15/2020 (Eastbridge Elementary and Conservatory Green K-8 Schools)		NR/Aa3		600,000		646,770
City & County of Denver School District No. 1 COP, 5.00% due 12/15/2021 (Eastbridge Elementary and Conservatory Green K-8 Schools)		NR/Aa3		1,000,000		1,132,560
City & County of Denver School District No. 1 COP, 5.00% due 12/15/2022 (Eastbridge Elementary and Conservatory Green K-8 Schools)		NR/Aa3		1,030,000		1,179,505

Semi-Annual Report    11

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
City & County of Denver School District No. 1 COP, 5.00% due 12/15/2023 (Eastbridge Elementary and Conservatory Green K-8 Schools)		NR/Aa3	$	1,180,000	$	1,366,263
City of Longmont, 6.00% due 5/15/2019		AA+/NR		3,215,000		3,516,245
Colorado Department of Corrections COP, 5.00% due 3/1/2018 (Colorado Penitentiary II) (ETM)		AA-/Aa2		1,590,000		1,649,227
Colorado Educational & Cultural Facilities Authority, 5.00% due 6/1/2018 (National Conference of State Legislatures)		A/A3		1,625,000		1,665,706
Colorado Educational & Cultural Facilities Authority, 5.00% due 6/1/2020 (National Conference of State Legislatures)		A/A3		1,805,000		1,958,244
Colorado Educational & Cultural Facilities Authority, 5.00% due 6/1/2021 (National Conference of State Legislatures)		A/A3		1,000,000		1,101,430
Colorado HFA, 5.25% due 5/15/2017 (Northern Colorado Medical Center; Insured: AGM) (ETM)		AA/NR		1,185,000		1,191,541
Colorado HFA, 5.00% due 7/1/2017 (Catholic Health Initiatives)		BBB+/Baa1		175,000		176,460
Colorado HFA, 5.25% due 5/15/2019 (Northern Colorado Medical Center; Insured: AGM) (ETM)		AA/NR		2,225,000		2,416,083
Colorado HFA, 5.00% due 5/15/2025 (Northern Colorado Medical Center)		A+/NR		565,000		662,931
Colorado HFA, 5.00% due 5/15/2026 (Northern Colorado Medical Center)		A+/NR		740,000		874,192
El Paso County COP, 4.00% due 12/1/2021 (Pikes Peak Regional Development Center)		AA/Aa2		1,000,000		1,086,640
El Paso County COP, 5.00% due 12/1/2023 (Pikes Peak Regional Development Center)		AA/Aa2		1,330,000		1,534,873
El Paso County Falcon School District No. 49 COP, 5.00% due 12/15/2020		NR/Aa3		350,000		391,503
El Paso County Falcon School District No. 49 COP, 5.00% due 12/15/2023		NR/Aa3		945,000		1,103,713
El Paso County Falcon School District No. 49 COP, 5.00% due 12/15/2024		NR/Aa3		655,000		772,383
Park Creek Metropolitan District, 5.00% due 12/1/2017 (Insured: AGM) (ETM)		AA/NR		1,525,000		1,566,694
Park Creek Metropolitan District, 5.50% due 12/1/2018 (Insured: AGM) (ETM)		AA/NR		1,200,000		1,286,448
Park Creek Metropolitan District, 5.50% due 12/1/2019 (Insured: AGM) (ETM)		AA/NR		1,000,000		1,109,010
Regents of the University of Colorado COP, 5.00% due 11/1/2017 (UCDHSC Fitzsimons Academic Facilities)		AA-/Aa2		850,000		870,409
Regional Transportation District COP, 5.00% due 6/1/2018 (FasTracks Transportation System)		A/Aa3		1,750,000		1,829,362
Regional Transportation District COP, 5.00% due 6/1/2019 (FasTracks Transportation System)		A/Aa3		4,730,000		5,111,947
Regional Transportation District COP, 5.00% due 6/1/2020 (FasTracks Transportation System)		A/Aa3		3,655,000		4,055,296
Regional Transportation District COP, 5.50% due 6/1/2021 (FasTracks Transportation System)		A/Aa3		2,370,000		2,671,606
Regional Transportation District COP, 5.00% due 6/1/2023 (North Metro Rail Line)		A/Aa3		4,000,000		4,669,080
Regional Transportation District COP, 5.00% due 6/1/2024 (North Metro Rail Line)		A/Aa3		4,000,000		4,646,840
CONNECTICUT — 2.13%
City of Hartford GO, 5.00% due 10/1/2022 (Various Public Improvements; Insured: AGM)		AA/A2		1,765,000		1,971,434
City of Hartford GO, 5.00% due 7/1/2024 (Various Public Improvements; Insured: AGM)		AA/A2		800,000		901,032
City of Hartford GO, 5.00% due 7/1/2025 (Various Public Improvements; Insured: AGM)		AA/A2		1,020,000		1,141,972
City of West Haven GO, 4.00% due 8/1/2018 (Insured: AGM)		AA/A2		2,080,000		2,152,467
Connecticut Housing Finance Authority, 0.96% due 11/15/2036 put 4/3/2017 (Housing Mortgage Financing Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)		AAA/Aaa		1,935,000		1,935,000
Connecticut Housing Finance Authority, 0.96% due 5/15/2039 put 4/3/2017 (Housing Mortgage Financing Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)		AAA/Aaa		42,865,000		42,865,000
State of Connecticut GO, 1.71% due 9/15/2019 (Various Capital Projects)		AA-/Aa3		1,000,000		1,000,080
State of Connecticut GO, 5.00% due 9/1/2023 (Educational Facilities)		AA-/Aa3		5,550,000		6,400,870
State of Connecticut GO, 5.00% due 5/15/2024 (Various Capital Projects)		AA-/Aa3		20,000,000		23,113,400
State of Connecticut GO, 5.00% due 6/15/2024 (Educational Facilities)		AA-/Aa3		19,385,000		22,418,365
State of Connecticut GO, 5.00% due 8/15/2024 (Various Capital Projects)		AA-/Aa3		1,845,000		2,131,012
State of Connecticut GO, 5.00% due 5/15/2025 (Various Capital Projects)		AA-/Aa3		12,500,000		14,533,875
State of Connecticut GO, 5.00% due 6/15/2025 (Educational Facilities)		AA-/Aa3		11,015,000		12,815,292
State of Connecticut GO, 5.00% due 5/15/2026 (Various Capital Projects)		AA-/Aa3		7,000,000		8,170,960
State of Connecticut GO Floating Rate Note, 1.56% due 9/15/2018 (Various Capital Projects)		AA-/Aa3		725,000		725,660
State of Connecticut GO Floating Rate Note, 1.44% due 9/15/2024 put 9/15/2017 (Various Capital Projects)		AA/Aa3		10,000,000		10,002,600
DELAWARE — 0.03%
Delaware Transportation Authority, 5.00% due 7/1/2020 (Transportation System)		AA+/Aa2		500,000		560,205
Delaware Transportation Authority, 5.00% due 7/1/2022 (Transportation System)		AA+/Aa2		1,440,000		1,687,579
DISTRICT OF COLUMBIA — 0.21%
District of Columbia, 4.00% due 4/1/2017 (National Public Radio) (ETM)		AA-/A2		1,830,000		1,830,000
District of Columbia, 5.00% due 4/1/2018 (National Public Radio) (ETM)		NR/NR		750,000		780,352
District of Columbia, 5.00% due 4/1/2018 (National Public Radio)		AA-/A2		995,000		1,034,661
District of Columbia, 5.00% due 4/1/2019 (National Public Radio)		AA-/A2		805,000		863,870
District of Columbia, 5.00% due 4/1/2020 (National Public Radio)		AA-/A2		1,890,000		2,081,589
District of Columbia GO, 6.00% due 6/1/2018 (Insured: Natl-Re)		AA/Aa1		5,000,000		5,292,300
District of Columbia GO, 5.25% due 6/1/2020 (Insured: Syncora)		AA/Aa1		3,005,000		3,376,328
FLORIDA — 6.88%
Alachua County School Board COP, 5.00% due 7/1/2022 (Educational Facilities)		A+/Aa3		1,600,000		1,809,504
Alachua County School Board COP, 5.00% due 7/1/2023 (Educational Facilities)		A+/Aa3		2,250,000		2,573,572
Broward County, 5.00% due 9/1/2017 (Port Facilities)		A-/A1		2,820,000		2,861,651
Broward County, 4.00% due 10/1/2017 (Airport, Marina & Port Improvements)		A+/A1		500,000		507,525
Broward County, 5.00% due 10/1/2017 (Airport, Marina & Port Improvements)		A+/A1		1,000,000		1,020,030

12    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Broward County, 5.50% due 9/1/2018 (Port Facilities)	A-/A1	$	3,500,000	$	3,687,670
Broward County, 4.00% due 10/1/2018 (Airport, Marina & Port Improvements)	A+/A1		425,000		442,574
Broward County, 5.00% due 10/1/2018 (Airport, Marina & Port Improvements)	A+/A1		500,000		528,085
Broward County, 5.50% due 9/1/2019 (Port Facilities)	A-/A1		2,800,000		3,041,752
Broward County, 5.00% due 10/1/2019 (Airport, Marina & Port Improvements)	A+/A1		1,000,000		1,088,130
Broward County, 4.00% due 10/1/2020 (Airport, Marina & Port Improvements)	A+/A1		1,660,000		1,790,061
Broward County, 5.00% due 10/1/2020 (Airport, Marina & Port Improvements)	A+/A1		2,000,000		2,229,100
Broward County School Board COP, 5.00% due 7/1/2017 (Educational Facilities; Insured: Natl-Re)	AA-/Aa3		1,000,000		1,010,300
Broward County School Board COP, 5.00% due 7/1/2021 (Educational Facilities)	A+/Aa3		4,000,000		4,523,080
Broward County School Board COP, 5.00% due 7/1/2022 (Educational Facilities)	A+/Aa3		4,580,000		5,254,130
Broward County School Board COP, 5.00% due 7/1/2023 (Educational Facilities)	A+/Aa3		3,000,000		3,487,980
Broward County School Board COP, 5.00% due 7/1/2023 (Educational Facilities)	A+/Aa3		2,000,000		2,325,320
Broward County School Board COP, 5.00% due 7/1/2024 (Educational Facilities)	A+/Aa3		4,000,000		4,692,520
Broward County School Board COP, 5.00% due 7/1/2024 (Educational Facilities)	A+/Aa3		2,000,000		2,346,260
Broward County School Board COP, 5.00% due 7/1/2025 (Educational Facilities)	A+/Aa3		7,000,000		8,268,610
Broward County School Board COP, 5.00% due 7/1/2025 (Educational Facilities)	A+/Aa3		5,000,000		5,906,150
City of Fort Myers, 5.00% due 12/1/2018 (Gulf Breeze Loan Program; Insured: Natl-Re)	AA-/Aa3		2,195,000		2,249,370
City of Fort Myers, 5.00% due 10/1/2023 (Utility Systems Capital Projects)	A+/Aa3		3,360,000		3,830,534
City of Gainesville, 0.95% due 10/1/2026 put 4/3/2017 (Utilities System; SPA: Landesbank Hessen-Thuringen) (daily demand notes)	AA-/Aa2		18,410,000		18,410,000
City of Gainesville, 0.96% due 10/1/2026 put 4/3/2017 (Utilities System; SPA: Landesbank Hessen-Thuringen) (daily demand notes)	AA-/Aa2		26,885,000		26,885,000
City of Jacksonville, 5.00% due 10/1/2017	AA-/Aa3		1,000,000		1,020,710
City of Jacksonville, 5.00% due 10/1/2018	AA-/Aa3		1,050,000		1,111,803
City of Jacksonville, 5.00% due 10/1/2019	AA-/Aa3		500,000		545,745
City of Jacksonville, 5.00% due 10/1/2020	AA-/Aa3		1,000,000		1,120,350
City of Jacksonville, 5.00% due 10/1/2023	AA-/Aa3		1,105,000		1,296,916
City of Lakeland, 5.00% due 10/1/2017 (Energy System; Insured: AGM)	AA/Aa3		7,105,000		7,252,145
City of Lakeland, 5.00% due 10/1/2019 (Energy System; Insured: AGM)	AA/Aa3		5,000,000		5,460,700
City of Lakeland, 5.00% due 11/15/2019 (Lakeland Regional Health Systems)	NR/A2		5,655,000		6,137,994
City of Lakeland, 5.00% due 10/1/2020 (Energy System; Insured: AGM)	AA/Aa3		1,695,000		1,900,231
City of Lakeland, 5.00% due 11/15/2025 (Lakeland Regional Health Systems)	NR/A2		1,945,000		2,258,203
City of Lakeland, 5.00% due 11/15/2026 (Lakeland Regional Health Systems)	NR/A2		1,925,000		2,246,417
City of Miami, 5.00% due 1/1/2018 (Street & Sidewalk Improvement Program; Insured: Natl-Re)	AA-/A2		1,970,000		2,023,426
City of North Miami Beach, 5.00% due 8/1/2017 (North Miami Beach Water Project)	A+/NR		750,000		760,320
City of North Miami Beach, 3.00% due 8/1/2018 (North Miami Beach Water Project)	A+/NR		1,280,000		1,313,037
City of North Miami Beach, 5.00% due 8/1/2019 (North Miami Beach Water Project)	A+/NR		1,650,000		1,780,103
City of North Miami Beach, 5.00% due 8/1/2020 (North Miami Beach Water Project)	A+/NR		780,000		859,537
City of North Miami Beach, 5.00% due 8/1/2021 (North Miami Beach Water Project)	A+/NR		1,000,000		1,124,480
City of Tampa, 5.00% due 11/15/2017 (BayCare Health System)	NR/Aa2		1,215,000		1,245,448
Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2017 (Nova Southeastern University) (ETM)	A-/Baa1		1,325,000		1,325,000
Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2018 (Nova Southeastern University) (ETM)	A-/Baa1		2,630,000		2,742,432
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (University of Tampa)	A-/NR		1,225,000		1,308,545
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (Nova Southeastern University)	A-/Baa1		1,035,000		1,100,940
Florida Higher Educational Facilities Financing Authority, 5.50% due 4/1/2019 (Nova Southeastern University) (ETM)	A-/Baa1		1,705,000		1,851,408
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2020 (Nova Southeastern University)	A-/Baa1		1,190,000		1,293,090
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2022 (University of Tampa)	A-/NR		620,000		698,573
Florida State Board of Governors, 4.00% due 7/1/2020 (University System Capital Improvements)	AA/Aa2		4,055,000		4,379,359
Florida State Board of Governors, 4.00% due 7/1/2021 (University System Capital Improvements)	AA/Aa2		4,215,000		4,621,663
Florida State Board of Governors, 4.00% due 7/1/2022 (University System Capital Improvements)	AA/Aa2		4,385,000		4,869,674
Florida State Department of Transportation GO, 5.00% due 7/1/2018	AAA/Aa1		3,000,000		3,062,310
Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health System Sunbelt Group)	AA/Aa2		3,200,000		3,280,576
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health System Sunbelt Group)	AA/Aa2		3,000,000		3,283,800
Hillsborough County, 5.00% due 11/1/2018 (Court Facilities)	AA/A1		4,210,000		4,471,062
Hillsborough County, 5.00% due 11/1/2019 (Court Facilities)	AA/A1		4,420,000		4,835,613
Hillsborough County, 5.00% due 11/1/2020 (Court Facilities)	AA/A1		4,645,000		5,211,133
Hillsborough County, 5.00% due 11/1/2021 (Court Facilities)	AA/A1		4,880,000		5,590,089
Hillsborough County, 5.00% due 11/1/2021 (Jail and Storm Water Projects)	AA/A1		2,300,000		2,634,673
Hillsborough County, 5.00% due 11/1/2022 (Jail and Storm Water Projects)	AA/A1		3,005,000		3,488,685
Hillsborough County IDA, 5.65% due 5/15/2018 (Tampa Electric Co.)	BBB+/A3		3,200,000		3,350,784
Hillsborough County School Board COP, 5.25% due 7/1/2017 (Educational Facilities; Insured: Natl-Re)	AA-/Aa2		1,300,000		1,314,261
Jacksonville Economic Development Commission, 6.00% due 9/1/2017 (Florida Proton Therapy Institute)	NR/NR		985,000		1,001,026
JEA, 5.00% due 10/1/2018 (Water and Sewer System)	AAA/Aa2		1,500,000		1,589,100
JEA, 5.00% due 10/1/2023 (Electric System)	A+/Aa3		1,395,000		1,642,850
JEA, 5.00% due 10/1/2024 (Electric System)	A+/Aa3		1,200,000		1,416,192
Lake County School Board COP, 5.25% due 6/1/2017 (Insured: AMBAC)	A/NR		2,000,000		2,014,540

Semi-Annual Report    13

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Lake County School Board COP, 5.25% due 6/1/2018 (Insured: AMBAC)	A/NR	$	1,475,000	$	1,544,237
Lee County School Board COP, 5.00% due 8/1/2023 (School Facilities Improvements)	AA-/Aa3		1,000,000		1,165,200
Lee County School Board COP, 5.00% due 8/1/2024 (School Facilities Improvements)	AA-/Aa3		2,000,000		2,341,820
Manatee County, 4.00% due 10/1/2017 (Public Utilities Improvements)	NR/Aa2		1,000,000		1,015,810
Manatee County, 5.00% due 10/1/2018 (County Capital Projects)	NR/Aa2		2,400,000		2,541,264
Manatee County, 5.00% due 10/1/2021 (County Capital Projects)	NR/Aa2		2,775,000		3,182,398
Manatee County, 5.00% due 10/1/2024 (Public Utilities Improvements)	NR/Aa2		500,000		596,020
Manatee County, 5.00% due 10/1/2025 (Public Utilities Improvements)	NR/Aa2		470,000		559,408
Manatee County School District, 5.00% due 10/1/2025 (School Facilities Improvements; Insured: AGM)	AA/NR		900,000		1,065,663
Manatee County School District, 5.00% due 10/1/2027 (School Facilities Improvements; Insured: AGM)	AA/NR		2,000,000		2,365,180
Marion County School Board COP, 5.00% due 6/1/2018 (Insured: BAM)	AA/A2		2,500,000		2,607,700
Marion County School Board COP, 5.00% due 6/1/2019 (Insured: BAM)	AA/A2		2,635,000		2,832,203
Marion County School Board COP, 5.00% due 6/1/2020 (Insured: BAM)	AA/A2		2,760,000		3,026,119
Marion County School Board COP, 5.00% due 6/1/2021 (Insured: BAM)	AA/A2		2,505,000		2,800,916
Marion County School Board COP, 5.00% due 6/1/2024 (Insured: BAM)	AA/A2		3,065,000		3,522,880
Miami Beach GO, 4.00% due 9/1/2019	AA+/Aa2		2,745,000		2,916,425
Miami Beach GO, 5.00% due 9/1/2020	AA+/Aa2		3,720,000		4,141,439
Miami Beach GO, 4.00% due 9/1/2021	AA+/Aa2		1,015,000		1,112,379
Miami Beach GO, 5.00% due 9/1/2022	AA+/Aa2		1,000,000		1,124,690
Miami-Dade County, 0% due 10/1/2017 (Professional Sports Franchise Facilities; Insured: AGM)	AA/A1		2,435,000		2,417,468
Miami-Dade County, 0% due 10/1/2018 (Professional Sports Franchise Facilities; Insured: AGM)	AA/A1		5,385,000		5,240,197
Miami-Dade County, 0% due 10/1/2019 (Professional Sports Franchise Facilities; Insured: AGM)	AA/A1		2,170,000		2,054,231
Miami-Dade County, 5.00% due 7/1/2023 (Transit System)	AA/A1		1,000,000		1,162,020
Miami-Dade County, 5.00% due 7/1/2024 (Transit System)	AA/A1		5,565,000		6,522,403
Miami-Dade County, 5.00% due 7/1/2025 (Transit System)	AA/A1		3,650,000		4,311,489
Miami-Dade County, 5.00% due 10/1/2025 (Miami International Airport)	A/A2		2,500,000		2,922,225
Miami-Dade County Expressway Authority, 5.00% due 7/1/2019 (Toll System; Insured: AGM)	AA/A2		7,530,000		8,131,722
Miami-Dade County Expressway Authority, 5.00% due 7/1/2024 (Toll System)	A/A2		2,000,000		2,348,440
Miami-Dade County Expressway Authority, 5.00% due 7/1/2025 (Toll System)	A/A2		2,000,000		2,331,080
Miami-Dade County GO, 5.25% due 7/1/2018 (Building Better Communities)	AA/Aa2		5,040,000		5,307,926
Miami-Dade County School Board COP, 5.00% due 5/1/2022 (Educational Facilities Improvements)	A/A1		3,405,000		3,908,872
Miami-Dade County School Board COP, 5.00% due 5/1/2023 (Educational Facilities Improvements)	A/A1		4,130,000		4,791,089
Miami-Dade County School Board COP, 5.00% due 5/1/2024 (Educational Facilities Improvements)	A/A1		8,000,000		9,343,680
Miami-Dade County School Board COP, 5.00% due 5/1/2025 (Educational Facilities Improvements)	A/A1		15,000,000		17,653,350
Miami-Dade County School Board COP, 5.00% due 5/1/2031 put 5/1/2024 (Educational Facilities Improvements)	A/A1		2,425,000		2,806,089
Orange County HFA, 5.00% due 10/1/2017 (Orlando Health, Inc.)	A/A2		1,980,000		2,019,798
Orange County HFA, 5.25% due 10/1/2019 (Orlando Health, Inc.)	A/A2		6,050,000		6,625,718
Orange County HFA, 6.25% due 10/1/2021 (Orlando Health, Inc.; Insured: Natl-Re)	AA-/A2		1,870,000		2,062,704
Orange County HFA, 5.375% due 10/1/2023 (Orlando Health, Inc.)	A/A2		4,150,000		4,530,845
Orange County School Board COP, 5.00% due 8/1/2019 (Educational Facilities)	NR/Aa2		1,000,000		1,086,950
Orange County School Board COP, 5.00% due 8/1/2020 (Educational Facilities)	NR/Aa2		1,695,000		1,892,213
Orange County School Board COP, 5.00% due 8/1/2021 (Educational Facilities)	NR/Aa2		2,100,000		2,398,011
Orange County School Board COP, 5.00% due 8/1/2022 (Educational Facilities)	NR/Aa2		1,825,000		2,114,317
Orange County School Board COP, 5.00% due 8/1/2023 (Educational Facilities)	NR/Aa2		1,540,000		1,803,355
Orange County School Board COP, 5.00% due 8/1/2024 (Educational Facilities)	NR/Aa2		1,445,000		1,701,516
Orange County School Board COP, 5.00% due 8/1/2025 (Educational Facilities)	NR/Aa2		1,190,000		1,411,697
Palm Beach County HFA, 5.00% due 12/1/2020 (Boca Raton Regional Hospital)	BBB+/NR		600,000		663,612
Palm Beach County School Board COP, 5.00% due 8/1/2018 (Educational Facilities)	NR/Aa3		800,000		841,768
Palm Beach County School Board COP, 4.00% due 8/1/2019 (Educational Facilities)	NR/Aa3		940,000		996,635
Palm Beach County School Board COP, 5.00% due 8/1/2020 (Educational Facilities)	NR/Aa3		1,090,000		1,213,432
Palm Beach County School Board COP, 4.00% due 8/1/2021 (Educational Facilities)	NR/Aa3		3,835,000		4,190,658
Palm Beach County School Board COP, 5.00% due 8/1/2022 (Educational Facilities)	NR/Aa3		1,000,000		1,153,490
Palm Beach County School Board COP, 5.00% due 8/1/2022 (Educational Facilities)	NR/Aa3		1,660,000		1,914,793
Palm Beach County School Board COP, 5.00% due 8/1/2023 (Educational Facilities)	NR/Aa3		3,500,000		4,091,745
Palm Beach County School Board COP, 5.00% due 8/1/2023 (Educational Facilities)	NR/Aa3		1,000,000		1,169,070
Palm Beach County School Board COP, 5.00% due 8/1/2024 (Educational Facilities)	NR/Aa3		3,595,000		4,249,110
Palm Beach County School Board COP, 5.00% due 8/1/2024 (Educational Facilities)	NR/Aa3		1,275,000		1,506,986
Polk County, 4.00% due 10/1/2020 (Water and Wastewater Utility Systems; Insured: AGM)	AA/Aa3		3,100,000		3,356,649
Polk County, 3.00% due 10/1/2021 (Water and Wastewater Utility Systems; Insured: AGM)	AA/Aa3		3,125,000		3,283,594
Polk County, 5.00% due 10/1/2023 (Water and Wastewater Utility Systems)	AA/Aa3		1,420,000		1,630,856
Putnam County Development Authority, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC)	A-/A3		10,200,000		10,632,684
Putnam County Development Authority, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC)	A-/A3		4,225,000		4,404,224
Reedy Creek Improvement District, 5.00% due 10/1/2017 (Walt Disney World Resort Complex Utility Systems)	A/A1		400,000		408,204
Reedy Creek Improvement District, 5.00% due 10/1/2018 (Walt Disney World Resort Complex Utility Systems)	A/A1		755,000		798,971
Reedy Creek Improvement District, 5.00% due 10/1/2021 (Walt Disney World Resort Complex Utility Systems)	A/A1		1,200,000		1,356,660
Reedy Creek Improvement District, 5.00% due 10/1/2022 (Walt Disney World Resort Complex Utility Systems)	A/A1		625,000		714,231

14    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Reedy Creek Improvement District, 5.00% due 6/1/2023 (Buena Vista Drive Corridor Improvements)		AA-/Aa3	$	1,940,000	$	2,270,634
Reedy Creek Improvement District, 5.00% due 10/1/2023 (Walt Disney World Resort Complex Utility Systems)		A/A1		750,000		864,518
Reedy Creek Improvement District GO, 5.00% due 6/1/2021 (Walt Disney World Resort Complex Utility Systems)		AA-/Aa3		500,000		567,600
Reedy Creek Improvement District GO, 5.00% due 6/1/2023 (Walt Disney World Resort Complex Utility Systems)		AA-/Aa3		860,000		1,006,570
Reedy Creek Improvement District GO, 5.00% due 6/1/2024 (Walt Disney World Resort Complex Utility Systems)		AA-/Aa3		850,000		1,003,638
Reedy Creek Improvement District GO, 5.00% due 6/1/2025 (Walt Disney World Resort Complex Utility Systems)		AA-/Aa3		2,000,000		2,383,260
South Florida Water Management District COP, 5.00% due 10/1/2017 (Everglades Restoration Plan)		AA/Aa3		2,750,000		2,806,402
South Florida Water Management District COP, 5.00% due 10/1/2018 (Everglades Restoration Plan)		AA/Aa3		2,500,000		2,645,600
South Florida Water Management District COP, 5.00% due 10/1/2019 (Everglades Restoration Plan)		AA/Aa3		1,500,000		1,635,300
South Florida Water Management District COP, 5.00% due 10/1/2020 (Everglades Restoration Plan)		AA/Aa3		1,780,000		1,989,702
South Florida Water Management District COP, 5.00% due 10/1/2021 (Everglades Restoration Plan)		AA/Aa3		1,750,000		1,998,325
South Florida Water Management District COP, 5.00% due 10/1/2022 (Everglades Restoration Plan)		AA/Aa3		2,000,000		2,315,540
South Lake County Hospital District, 5.00% due 10/1/2025		NR/A2		4,140,000		4,514,422
South Miami HFA, 5.00% due 8/15/2017 (Baptist Health)		AA-/Aa3		4,610,000		4,680,210
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2021 (Miami-Dade County Program; Insured: AGM)		AA/Aa3		5,000,000		5,698,250
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2021 (Miami-Dade County Program)		AA-/Aa3		1,450,000		1,651,826
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2022 (Miami-Dade County Program)		AA-/Aa3		2,000,000		2,309,840
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2023 (Miami-Dade County Program)		AA-/Aa3		2,100,000		2,457,798
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2024 (Miami-Dade County Program)		AA-/Aa3		1,725,000		2,006,917
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2017		AA+/Aa1		5,615,000		5,733,420
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2018		AA+/Aa1		2,890,000		3,063,689
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2019		AA+/Aa1		3,000,000		3,285,390
University of North Florida Foundation, Inc., 0.90% due 5/1/2028 put 4/3/2017 (Parking Facility; LOC: Wachovia Bank, N.A.) (daily demand notes)		AA-/NR		5,300,000		5,300,000
Volusia County Educational Facilities Authority, 4.00% due 10/15/2017 (Embry-Riddle Aeronautical University, Inc.; Insured: AGM)		AA/A2		1,030,000		1,046,192
Volusia County Educational Facilities Authority, 5.00% due 10/15/2018 (Embry-Riddle Aeronautical University, Inc.; Insured: AGM)		AA/A2		2,075,000		2,191,055
Volusia County Educational Facilities Authority, 5.00% due 10/15/2019 (Embry-Riddle Aeronautical University, Inc.; Insured: AGM)		AA/A2		2,350,000		2,552,170
Volusia County Educational Facilities Authority, 5.00% due 10/15/2023 (Embry-Riddle Aeronautical University, Inc.)		NR/Baa1		700,000		793,555
Volusia County Educational Facilities Authority, 5.00% due 10/15/2024 (Embry-Riddle Aeronautical University, Inc.)		NR/Baa1		650,000		739,252
Volusia County Educational Facilities Authority, 5.00% due 10/15/2025 (Embry-Riddle Aeronautical University, Inc.)		NR/Baa1		400,000		454,288
Volusia County School Board COP, 5.00% due 8/1/2024 (University High School, River Springs Middle School)		NR/Aa3		1,000,000		1,181,950
GEORGIA — 1.53%
Athens-Clarke County Unified Government Development Authority, 4.00% due 6/15/2017 (UGAREF Bolton Commons, LLC)		NR/Aa2		495,000		498,252
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2019 (UGAREF Bolton Commons, LLC)		NR/Aa2		400,000		433,044
Athens-Clarke County Unified Government Development Authority, 4.00% due 6/15/2020 (UGAREF Bolton Commons, LLC)		NR/Aa2		395,000		427,027
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2022 (UGAREF Central Precinct, LLC)		NR/Aa2		800,000		923,096
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2023 (UGAREF Central Precinct, LLC)		NR/Aa2		470,000		549,693
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2024 (UGAREF Central Precinct, LLC)		NR/Aa2		520,000		614,063
City of Atlanta, 5.00% due 11/1/2017 (Water & Wastewater System; Insured: AGM)		AA/Aa2		4,745,000		4,860,351
City of Atlanta, 5.00% due 1/1/2018 (Hartsfield-Jackson Atlanta International Airport)		NR/Aa3		2,100,000		2,164,176
City of Atlanta, 5.00% due 1/1/2019 (Hartsfield-Jackson Atlanta International Airport)		NR/Aa3		3,145,000		3,358,105
City of Atlanta, 6.00% due 11/1/2019 (Water & Wastewater System)		AA-/Aa2		5,650,000		6,327,435
City of Atlanta, 5.00% due 1/1/2020 (BeltLine Project)		NR/A2		410,000		446,769
City of Atlanta, 5.00% due 1/1/2020 (Hartsfield-Jackson Atlanta International Airport)		NR/Aa3		6,000,000		6,590,820
City of Atlanta, 5.25% due 1/1/2020 (Hartsfield-Jackson Atlanta International Airport)		NR/Aa3		5,000,000		5,526,000
City of Atlanta, 5.00% due 1/1/2021 (BeltLine Project)		NR/A2		175,000		190,892
City of Atlanta, 5.00% due 1/1/2021 (Hartsfield-Jackson Atlanta International Airport)		NR/Aa3		7,000,000		7,685,300
City of Atlanta, 5.50% due 1/1/2021 (Hartsfield-Jackson Atlanta International Airport)		NR/Aa3		3,525,000		4,030,273
City of Atlanta, 5.00% due 11/1/2021 (Water & Wastewater System)		AA-/Aa2		2,500,000		2,871,700
City of Atlanta, 5.00% due 11/1/2022 (Water & Wastewater System)		AA-/Aa2		1,000,000		1,166,140
City of Atlanta, 5.00% due 1/1/2023 (Airport Passenger Facility)		AA-/Aa3		1,000,000		1,159,210
City of Atlanta, 5.00% due 11/1/2023 (Water & Wastewater System)		AA-/Aa2		1,130,000		1,336,056
City of Atlanta, 5.00% due 1/1/2024 (Airport Passenger Facility)		AA-/Aa3		1,350,000		1,596,078
City of Atlanta, 5.00% due 11/1/2024 (Water & Wastewater System)		AA-/Aa2		1,000,000		1,196,090
City of Atlanta, 5.00% due 1/1/2025 (Airport Passenger Facility)		AA-/Aa3		1,645,000		1,945,986
City of Atlanta, 5.00% due 1/1/2025 (Airport Passenger Facility)		AA-/Aa3		2,500,000		2,960,900
City of Atlanta, 5.00% due 11/1/2025 (Water & Wastewater System)		AA-/Aa2		1,000,000		1,201,910
Development Authority of Bartow County, 2.70% due 8/1/2043 put 8/23/2018 (Georgia Power Co. Plant Bowen Project)		A-/A3		6,000,000		6,074,880
Fulton County Development Authority, 5.00% due 10/1/2022 (Georgia Tech Athletic Association)		NR/A2		4,550,000		5,223,081
Fulton County Facilities Corp. COP, 5.00% due 11/1/2017 (Public Purpose Project)		AA/Aa2		8,400,000		8,600,172
Fulton County Facilities Corp. COP, 5.00% due 11/1/2019 (Public Purpose Project)		AA/Aa2		6,600,000		7,203,504
Hospital Authority of Gwinnett County, 5.00% due 7/1/2023 (Gwinnett Hospital System, Inc.; Insured: AGM)		NR/A2		5,000,000		5,366,100
LaGrange-Troup County Hospital Authority, 5.00% due 7/1/2018 (West Georgia Health Foundation, Inc.)		A+/Aa2		1,070,000		1,091,700

Semi-Annual Report    15

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas)		BBB+/Baa1	$	5,000,000	$	5,141,200
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 (Insured: Natl-Re)		AA-/A1		120,000		124,184
State of Georgia GO, 5.00% due 7/1/2017 (Capital Projects)		AAA/Aaa		8,625,000		8,717,115
Valdosta and Lowndes County Hospital Authority, 5.00% due 10/1/2022 (South Medical Center)		AA-/Aa2		1,500,000		1,713,390
GUAM — 0.57%
Government of Guam, 5.25% due 12/1/2017 (Layon Solid Waste Disposal Facility) (ETM)		BBB+/NR		2,000,000		2,058,800
Government of Guam, 5.50% due 12/1/2018 (Layon Solid Waste Disposal Facility) (ETM)		BBB+/NR		3,000,000		3,220,530
Government of Guam, 5.00% due 1/1/2019 (Economic Development)		A/NR		680,000		713,809
Government of Guam, 5.00% due 11/15/2019 (Various Capital Projects)		A/NR		1,000,000		1,070,420
Government of Guam, 5.50% due 12/1/2019 (Layon Solid Waste Disposal Facility) (ETM)		BBB+/NR		2,000,000		2,222,300
Government of Guam, 5.00% due 11/15/2020 (Various Capital Projects)		A/NR		1,500,000		1,624,860
Government of Guam, 5.00% due 11/15/2021 (Various Capital Projects)		A/NR		2,210,000		2,420,878
Government of Guam, 5.00% due 11/15/2022 (Various Capital Projects)		A/NR		2,960,000		3,260,292
Government of Guam, 5.00% due 11/15/2023 (Various Capital Projects)		A/NR		6,280,000		6,901,469
Government of Guam, 5.00% due 11/15/2024 (Various Capital Projects)		A/NR		4,500,000		4,933,440
Guam Government Waterworks Authority, 5.25% due 7/1/2020 (Water & Wastewater System Improvements)		A-/Baa2		300,000		329,826
Guam Government Waterworks Authority, 5.25% due 7/1/2022 (Water & Wastewater System Improvements)		A-/Baa2		1,050,000		1,181,040
Guam Government Waterworks Authority, 5.25% due 7/1/2023 (Water & Wastewater System Improvements)		A-/Baa2		645,000		730,869
Guam Power Authority, 5.00% due 10/1/2019 (Electric Power System; Insured: AGM)		AA/A2		1,000,000		1,078,390
Guam Power Authority, 5.00% due 10/1/2020 (Electric Power System; Insured: AGM)		AA/A2		1,500,000		1,649,235
Guam Power Authority, 5.00% due 10/1/2022 (Electric Power System; Insured: AGM)		AA/A2		6,340,000		7,167,180
HAWAII — 1.43%
City and County of Honolulu GO, 5.00% due 11/1/2019 (Capital Improvements)		NR/Aa1		3,620,000		3,973,348
City and County of Honolulu GO, 5.00% due 11/1/2020 (Capital Improvements)		NR/Aa1		8,265,000		9,311,349
City and County of Honolulu GO, 5.00% due 11/1/2021 (Capital Improvements)		NR/Aa1		2,770,000		3,192,009
City and County of Honolulu GO, 5.00% due 11/1/2022 (Capital Improvements)		NR/Aa1		1,750,000		2,053,433
City and County of Honolulu GO, 5.00% due 11/1/2022 (Capital Improvements)		NR/Aa1		6,695,000		7,855,846
County of Hawaii GO, 5.00% due 9/1/2021 (Capital Improvements)		AA-/Aa2		2,165,000		2,486,914
County of Hawaii GO, 5.00% due 9/1/2021 (Capital Improvements)		AA-/Aa2		1,500,000		1,723,035
County of Hawaii GO, 5.00% due 9/1/2022 (Capital Improvements)		AA-/Aa2		1,250,000		1,462,100
County of Hawaii GO, 5.00% due 9/1/2022 (Capital Improvements)		AA-/Aa2		1,000,000		1,169,680
County of Hawaii GO, 5.00% due 9/1/2023 (Capital Improvements)		AA-/Aa2		1,000,000		1,186,630
County of Hawaii GO, 5.00% due 9/1/2023 (Capital Improvements)		AA-/Aa2		800,000		949,304
County of Hawaii GO, 5.00% due 9/1/2023 (Capital Improvements)		AA-/Aa2		1,500,000		1,779,945
County of Hawaii GO, 5.00% due 9/1/2023 (Capital Improvements)		AA-/Aa2		1,000,000		1,186,630
County of Hawaii GO, 5.00% due 9/1/2023 (Capital Improvements)		AA-/Aa2		1,000,000		1,186,630
County of Hawaii GO, 5.00% due 9/1/2024 (Capital Improvements)		AA-/Aa2		1,430,000		1,712,668
County of Hawaii GO, 5.00% due 9/1/2024 (Capital Improvements)		AA-/Aa2		2,000,000		2,395,340
County of Hawaii GO, 5.00% due 9/1/2024 (Capital Improvements)		AA-/Aa2		1,515,000		1,814,470
County of Hawaii GO, 5.00% due 9/1/2025 (Capital Improvements)		AA-/Aa2		2,000,000		2,420,100
County of Hawaii GO, 5.00% due 9/1/2025 (Capital Improvements)		AA-/Aa2		1,255,000		1,518,613
County of Hawaii GO, 5.00% due 9/1/2026 (Capital Improvements)		AA-/Aa2		1,500,000		1,813,575
County of Hawaii GO, 5.00% due 9/1/2026 (Capital Improvements)		AA-/Aa2		2,085,000		2,520,869
County of Hawaii GO, 5.00% due 9/1/2026 (Capital Improvements)		AA-/Aa2		500,000		604,525
State of Hawaii GO, 5.00% due 11/1/2017 (Hawaiian Home Lands Settlement)		AA+/Aa1		12,000,000		12,295,200
State of Hawaii GO, 5.00% due 11/1/2018 (Hawaiian Home Lands Settlement)		AA+/Aa1		20,000,000		21,269,600
State of Hawaii GO, 5.00% due 12/1/2019 (Hawaiian Home Lands Settlement) (ETM)		NR/NR		1,545,000		1,698,372
State of Hawaii GO, 5.00% due 12/1/2019 (Hawaiian Home Lands Settlement)		AA+/Aa1		1,455,000		1,601,402
State of Hawaii GO, 5.00% due 12/1/2020 (Hawaiian Home Lands Settlement)		AA+/Aa1		2,500,000		2,823,050
State of Hawaii GO, 5.00% due 12/1/2021 (Hawaiian Home Lands Settlement)		AA+/Aa1		3,000,000		3,462,390
State of Hawaii GO, 5.00% due 12/1/2022 (Hawaiian Home Lands Settlement)		AA+/Aa1		940,000		1,073,659
State of Hawaii GO, 5.00% due 12/1/2022 pre-refunded 12/1/2021 (Hawaiian Home Lands Settlement)		NR/NR		3,060,000		3,535,402
IDAHO — 0.64%
Idaho HFA, 5.00% due 12/1/2022 (Trinity Health Credit Group)		AA-/Aa3		1,000,000		1,162,990
Idaho HFA, 5.00% due 12/1/2023 (Trinity Health Credit Group)		AA-/Aa3		2,200,000		2,589,158
Idaho HFA, 5.00% due 12/1/2024 (Trinity Health Credit Group)		AA-/Aa3		1,000,000		1,187,200
Regents of the University of Idaho, 5.25% due 4/1/2041 put 4/1/2021		A+/Aa3		12,890,000		14,511,304
State of Idaho GO, 2.00% due 6/30/2017		SP-1+/Mig1		25,825,000		25,893,695
ILLINOIS — 6.77%
Board of Education of the City of Chicago GO, 0% due 12/1/2020 (Educational Facilities; Insured: BHAC)		AA+/Aa1		12,000,000		10,786,320
Board of Trustees of Southern Illinois University, 5.25% due 4/1/2020 (Housing & Auxiliary Facilities; Insured: Natl-re)		AA-/A3		1,000,000		1,089,450
Chicago Midway International Airport, 5.00% due 1/1/2022		A/A3		800,000		909,768
Chicago Midway International Airport, 5.00% due 1/1/2023		A/A3		1,900,000		2,193,569

16    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Chicago Midway International Airport, 5.00% due 1/1/2024	A/A3	$	1,000,000	$	1,166,520
Chicago O’Hare International Airport, 5.00% due 1/1/2018 (2016 Airport Projects)	A/NR		6,750,000		6,950,610
Chicago O’Hare International Airport, 5.00% due 1/1/2019 (2015 Airport Projects)	A/NR		3,000,000		3,198,390
Chicago O’Hare International Airport, 5.00% due 1/1/2019 (2016 Airport Projects)	A/NR		8,500,000		9,062,105
Chicago O’Hare International Airport, 5.00% due 1/1/2020 (2015 Airport Projects)	A/NR		2,350,000		2,576,070
Chicago O’Hare International Airport, 5.00% due 1/1/2021 (2015 Airport Projects)	A/NR		3,000,000		3,360,420
Chicago O’Hare International Airport, 5.00% due 1/1/2022 (Capital Development Programs)	A/A2		5,835,000		6,477,609
Chicago O’Hare International Airport, 5.00% due 1/1/2027 (2016 Airport Projects)	A/NR		1,750,000		2,046,870
Chicago Park District GO, 4.00% due 1/1/2018 (Capital Improvement Plan)	AA+/NR		945,000		962,180
Chicago Park District GO, 4.00% due 1/1/2018 (Capital Improvement Plan)	AA+/NR		1,250,000		1,272,725
Chicago Park District GO, 4.00% due 1/1/2018 (Capital Improvement Plan)	AA+/NR		1,420,000		1,445,816
Chicago Park District GO, 5.00% due 1/1/2018 (Capital Improvement Plan)	AA+/Ba1		1,150,000		1,179,440
Chicago Park District GO, 4.00% due 1/1/2019 (Capital Improvement Plan)	AA+/NR		820,000		851,496
Chicago Park District GO, 4.00% due 1/1/2019 (Capital Improvement Plan)	AA+/NR		1,745,000		1,812,025
Chicago Park District GO, 4.00% due 1/1/2020 (Capital Improvement Plan)	AA+/NR		815,000		857,714
Chicago Park District GO, 4.00% due 1/1/2020 (Capital Improvement Plan)	AA+/NR		2,730,000		2,873,079
Chicago Park District GO, 5.00% due 1/1/2020 (Capital Improvement Plan)	AA+/Ba1		530,000		571,881
Chicago Park District GO, 5.00% due 1/1/2021 (Capital Improvement Plan)	AA+/NR		2,840,000		3,123,546
Chicago Park District GO, 5.00% due 1/1/2022 (Capital Improvement Plan)	AA+/NR		1,940,000		2,158,638
Chicago Park District GO, 5.00% due 1/1/2022 (Capital Improvement Plan)	AA+/NR		1,485,000		1,652,359
Chicago Park District GO, 5.00% due 1/1/2023 (Capital Improvement Plan)	AA+/NR		1,675,000		1,881,695
Chicago Park District GO, 5.00% due 1/1/2023 (Capital Improvement Plan)	AA+/NR		3,215,000		3,611,731
Chicago Park District GO, 5.00% due 1/1/2023 (Capital Improvement Plan)	AA+/NR		1,605,000		1,803,057
Chicago Park District GO, 5.00% due 1/1/2024 (Capital Improvement Plan)	AA+/NR		1,305,000		1,476,986
Chicago Park District GO, 5.00% due 1/1/2024 (Capital Improvement Plan)	AA+/NR		1,340,000		1,516,599
Chicago Park District GO, 5.00% due 1/1/2024 (Capital Improvement Plan)	AA+/NR		1,760,000		1,991,950
Chicago Park District GO, 5.00% due 1/1/2025 (Capital Improvement Plan)	AA+/NR		610,000		693,326
Chicago School Reform Board of Trustees of the Board of Education GO, 5.25% due 12/1/2021 (School District Capital Improvement Program; Insured: Natl-Re)	AA-/A3		1,500,000		1,608,030
Chicago Transit Authority, 5.25% due 6/1/2017 (Federal Transit Program-Rail Systems; Insured: AGM)	A/A3		3,000,000		3,019,140
Chicago Transit Authority, 5.50% due 6/1/2018 (Federal Transit Program-Rail Systems; Insured: AGM)	A/A3		2,500,000		2,609,525
City of Chicago, 4.00% due 1/1/2018 (Wastewater Transmission System)	A/Baa3		1,475,000		1,500,149
City of Chicago, 5.00% due 1/1/2018 (Wastewater Transmission System)	A/NR		2,500,000		2,561,150
City of Chicago, 5.00% due 1/1/2019 (Wastewater Transmission System)	A/NR		1,750,000		1,843,817
City of Chicago, 5.00% due 1/1/2020 (Wastewater Transmission System)	A/NR		1,000,000		1,075,950
City of Chicago, 5.00% due 1/1/2020 (Project Fund; Insured: AGM)	AA/A2		1,320,000		1,337,160
City of Chicago, 5.50% due 1/1/2020 (Wastewater Transmission System; Insured: BHAC)	AA+/Aa1		1,250,000		1,286,638
City of Chicago, 5.00% due 1/1/2021 (Riverwalk Expansion Project; Insured: AGM)	BBB-/Ba1		1,410,000		1,493,824
City of Chicago, 5.00% due 1/1/2021 (Wastewater Transmission System)	A/NR		1,000,000		1,094,180
City of Chicago, 5.00% due 1/1/2022 (Wastewater Transmission System)	A/NR		2,000,000		2,214,040
City of Chicago, 5.00% due 1/1/2023 (Riverwalk Expansion Project; Insured: AGM)	BBB-/Ba1		1,000,000		1,066,720
City of Chicago, 5.00% due 1/1/2023 (Wastewater Transmission System)	A/NR		3,000,000		3,351,540
City of Chicago, 5.00% due 1/1/2023 (Chicago Midway Airport)	A/A3		6,215,000		7,175,280
City of Chicago, 5.00% due 1/1/2024 (Wastewater Transmission System)	A/NR		6,250,000		7,012,437
City of Chicago, 5.00% due 1/1/2024 (Chicago Midway Airport)	A/A3		16,060,000		18,363,807
City of Chicago, 5.00% due 1/1/2024 (Project Fund)	AA/Ba1		5,510,000		5,707,038
City of Chicago, 5.00% due 1/1/2025 (Wastewater Transmission System)	A/NR		4,500,000		5,074,920
City of Chicago, 5.00% due 1/1/2026 (Project Fund)	AA/Ba1		6,030,000		6,207,342
City of Chicago, 5.00% due 1/1/2027 (Project Fund)	AA/Ba1		6,310,000		6,482,326
City of Chicago, 5.00% due 11/1/2027 (Water System Improvements)	A/NR		1,250,000		1,406,013
City of Chicago Board of Education GO, 5.00% due 12/1/2018 (Insured: Natl-Re)	AA-/A3		1,000,000		1,028,450
City of Chicago Building Acquisition Certificates GO, 5.40% due 1/1/2018 (Parking Facility Improvements; Insured: AGM)	AA/A2		570,000		572,029
City of Chicago School Reform Board of Trustees GO, 5.25% due 12/1/2017 (Insured: Natl-Re)	AA-/A3		4,100,000		4,161,336
City of Mount Vernon GO, 4.00% due 12/15/2019 (Various Municipal Capital Improvements; Insured: AGM)	AA/A2		1,000,000		1,062,970
City of Mount Vernon GO, 4.00% due 12/15/2020 (Various Municipal Capital Improvements; Insured: AGM)	AA/A2		785,000		844,731
City of Mount Vernon GO, 4.00% due 12/15/2021 (Various Municipal Capital Improvements; Insured: AGM)	AA/A2		1,640,000		1,750,405
City of Quincy, 5.00% due 11/15/2017 (Blessing Hospital)	A/A2		500,000		511,450
City of Waukegan GO, 5.00% due 12/30/2019 (Lakehurst Redevelopment Project; Insured: AGM)	NR/A2		1,935,000		2,092,799
City of Waukegan GO, 5.00% due 12/30/2020 (Lakehurst Redevelopment Project; Insured: AGM)	NR/A2		1,000,000		1,102,520
City of Waukegan GO, 5.00% due 12/30/2021 (Lakehurst Redevelopment Project; Insured: AGM)	NR/A2		2,100,000		2,350,719
City of Waukegan GO, 5.00% due 12/30/2022 (Lakehurst Redevelopment Project; Insured: AGM)	NR/A2		1,000,000		1,129,680
Community College District No. 503 GO, 5.00% due 12/1/2021 (Black Hawk College; Insured: AGM)	AA/NR		3,365,000		3,787,980
Community College District No. 503 GO, 5.00% due 12/1/2023 (Black Hawk College; Insured: AGM)	AA/NR		4,155,000		4,751,118
Community College District No. 503 GO, 5.00% due 12/1/2024 (Black Hawk College; Insured: AGM)	AA/NR		3,415,000		3,932,099
Community College District No. 516 GO, 4.50% due 12/15/2020 (Waubonsee Community College)	NR/Aa1		1,325,000		1,465,688
Community College District No. 516 GO, 5.00% due 12/15/2021 (Waubonsee Community College)	NR/Aa1		6,175,000		7,086,492

Semi-Annual Report    17

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Community High School District No. 127 GO, 7.375% due 2/1/2020 (Lake County-Grayslake Educational Facilities.; Insured: Syncora)	AA+/NR	$	1,000,000	$	1,151,570
Community Unit School District No. 200 GO, 5.25% due 10/1/2023 (DuPage County Educational Facilities; Insured: FSA)	AA/Aa3		1,000,000		1,089,990
Community Unit School District No. 302 GO, 0% due 2/1/2021 (Kane & DeKalb County Educational Facilities; Insured: Natl- Re)	NR/Aa3		3,165,000		2,872,364
Community Unit School District No. 428 GO, 0% due 1/1/2021 (DeKalb County Educational Facilities)	AA-/Aa2		6,140,000		5,627,371
Community Unit School District No. 5 GO, 5.00% due 4/15/2024 (Insured: BAM)	AA/Aa3		450,000		521,424
Community Unit School District No. 5 GO, 5.00% due 4/15/2025 (Insured: BAM)	AA/Aa3		600,000		701,208
Community Unit School District No. 5 GO, 5.00% due 4/15/2026 (Insured: BAM)	AA/Aa3		600,000		704,988
Cook County Community College District No. 508 GO, 5.00% due 12/1/2020 (City Colleges of Chicago)	A+/NR		1,220,000		1,335,815
Cook County Community College District No. 508 GO, 5.00% due 12/1/2021 (City Colleges of Chicago)	A+/NR		1,000,000		1,106,410
Cook County Community College District No. 508 GO, 5.00% due 12/1/2022 (City Colleges of Chicago)	A+/NR		1,250,000		1,397,350
Cook County Community College District No. 508 GO, 5.00% due 12/1/2023 (City Colleges of Chicago)	A+/NR		3,300,000		3,702,831
Cook County Community College District No. 508 GO, 5.00% due 12/1/2024 (City Colleges of Chicago)	A+/NR		1,000,000		1,105,980
Cook County Community College District No. 508 GO, 5.25% due 12/1/2025 (City Colleges of Chicago)	A+/NR		1,625,000		1,808,869
Cook County Community College District No. 508 GO, 5.25% due 12/1/2026 (City Colleges of Chicago)	A+/NR		1,690,000		1,872,266
Cook County School District No. 97 GO, 9.00% due 12/1/2018 (Village of Oak Park; Insured: Natl-Re)	NR/Aa2		4,000,000		4,490,760
County of Cook GO, 5.00% due 11/15/2019 (Capital Improvement Plan)	AA-/A2		3,690,000		3,976,012
County of Cook GO, 4.00% due 11/15/2020 (Capital Improvement Plan)	AA-/A2		925,000		982,406
County of Cook GO, 5.00% due 11/15/2020 (Capital Improvement Plan)	AA-/A2		3,590,000		3,850,634
County of Cook GO, 5.00% due 11/15/2020 (Capital Improvement Plan)	AA-/A2		2,000,000		2,193,360
County of Cook GO, 4.00% due 11/15/2021 (Capital Improvement Plan)	AA-/A2		2,000,000		2,136,920
County of Cook GO, 5.00% due 11/15/2021 (Capital Improvement Plan)	AA-/A2		5,000,000		5,566,600
County of Cook GO, 5.00% due 11/15/2021 (Capital Improvement Plan)	AA-/A2		2,105,000		2,343,539
County of Cook GO, 4.00% due 11/15/2022 (Capital Improvement Plan)	AA-/A2		1,000,000		1,072,980
County of Cook GO, 5.00% due 11/15/2022 (Capital Improvement Plan)	AA-/A2		1,500,000		1,689,960
Du Page County High School District No. 88, 3.00% due 1/15/2020 (Addison Trail and Willowbrook High Schools)	NR/Aa1		2,630,000		2,739,066
Forest Preserve District of Cook County GO, 5.00% due 11/15/2021	AA/A2		1,500,000		1,658,730
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2020	AAA/Aaa		500,000		560,010
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2021	AAA/Aaa		1,425,000		1,629,858
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2022	AAA/Aaa		900,000		1,043,055
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2023	AAA/Aaa		1,300,000		1,523,795
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2024	AAA/Aaa		5,000,000		5,900,650
Illinois Educational Facilities Authority, 5.25% due 3/1/2034 put 3/1/2018 (Art Institute of Chicago)	NR/NR		3,600,000		3,708,360
Illinois Educational Facilities Authority, 3.40% due 11/1/2036 put 11/1/2017 (Field Museum of Natural History)	A/NR		1,300,000		1,312,025
Illinois Finance Authority, 5.00% due 11/1/2017 (Rush University Medical Center; Insured: Natl-Re) (ETM)	AA-/Aaa		1,000,000		1,024,190
Illinois Finance Authority, 5.00% due 12/1/2017 (Columbia College) (ETM)	BBB+/NR		1,395,000		1,433,139
Illinois Finance Authority, 5.50% due 11/1/2018 (Advocate Health Care)	AA+/Aa2		1,000,000		1,044,160
Illinois Finance Authority, 5.25% due 5/1/2019 (Educational Advancement Fund, Inc.)	NR/Baa3		4,675,000		4,683,836
Illinois Finance Authority, 5.00% due 4/1/2020 (Advocate Health Care)	AA+/Aa2		1,315,000		1,406,287
Illinois Finance Authority, 5.00% due 11/15/2020 (Rush University Medical Center)	A+/A1		290,000		323,585
Illinois Finance Authority, 5.00% due 11/15/2021 (Rush University Medical Center)	A+/A1		250,000		284,553
Illinois Finance Authority, 4.00% due 12/1/2021 (Trinity Health)	AA-/Aa3		1,000,000		1,088,500
Illinois Finance Authority, 5.00% due 11/15/2022 (Rush University Medical Center)	A+/A1		250,000		288,093
Illinois Finance Authority, 5.00% due 8/1/2023 (Advocate Health Care)	AA+/Aa2		565,000		657,824
a Illinois Finance Authority, 5.00% due 11/15/2023 (Rush University Medical Center)	A+/A1		1,000,000		1,162,120
Illinois Finance Authority, 5.00% due 8/1/2024 (Advocate Health Care)	AA+/Aa2		800,000		942,608
Illinois Finance Authority, 5.00% due 11/15/2024 (Rush University Medical Center)	A+/A1		500,000		584,550
Illinois Finance Authority, 5.00% due 8/1/2025 (Advocate Health Care)	AA+/Aa2		1,400,000		1,635,368
Illinois Finance Authority, 5.00% due 11/15/2025 (Rush University Medical Center)	A+/A1		1,655,000		1,926,006
Illinois Finance Authority, 5.00% due 11/1/2030 put 1/15/2020 (Advocate Health Care)	AA+/Aa2		1,250,000		1,368,838
Illinois Finance Authority, 0.95% due 8/15/2038 put 4/3/2017 (Northwestern Memorial Hospital; SPA: Northern Trust Co.) (daily demand notes)	AA+/Aa2		33,370,000		33,370,000
Illinois State Toll Highway Authority, 5.00% due 1/1/2023	AA-/Aa3		4,000,000		4,629,800
Illinois State Toll Highway Authority, 5.00% due 1/1/2024	AA-/Aa3		6,500,000		7,608,965
Illinois State Toll Highway Authority, 5.00% due 1/1/2025	AA-/Aa3		6,500,000		7,128,940
Kane McHenry Cook & DeKalb Counties Unit School District No. 300 GO, 0% due 12/1/2021 (Insured: AMBAC) (ETM)	NR/Aa3		765,000		705,139
Kane McHenry Cook & DeKalb Counties Unit School District No. 300 GO, 0% due 12/1/2021 (Insured: AMBAC)	NR/Aa3		1,235,000		1,092,802
Kane McHenry Cook & DeKalb Counties Unit School District No. 300 GO, 5.00% due 1/1/2024	AA/NR		7,150,000		8,215,350
McHenry County Conservation District GO, 5.00% due 2/1/2021	AA+/Aa1		2,325,000		2,613,858
McHenry County Conservation District GO, 5.00% due 2/1/2025	AA+/Aa1		2,000,000		2,360,100
Metropolitan Pier & Exposition Authority, 5.00% due 12/15/2020 (McCormick Place Expansion)	BBB-/NR		4,000,000		4,302,840
Railsplitter Tobacco Settlement Authority, 5.00% due 6/1/2019	A/NR		22,000,000		23,645,600
Railsplitter Tobacco Settlement Authority, 5.125% due 6/1/2019	A/NR		6,780,000		7,305,179
State of Illinois, 5.00% due 6/15/2021 pre-refunded 6/15/2019 (Build Illinois)	AAA/NR		9,945,000		10,768,645
State of Illinois, 5.00% due 6/15/2023 (Build Illinois)	AAA/NR		5,825,000		6,666,596

18    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
State of Illinois, 5.00% due 6/15/2025 (Build Illinois)		AAA/NR	$	8,825,000	$	10,228,440
State of Illinois, 5.00% due 6/15/2026 (Build Illinois)		AAA/NR		8,825,000		10,302,658
State of Illinois, 5.00% due 6/15/2027 (Build Illinois)		AAA/NR		5,825,000		6,847,113
Town of Cicero Cook County GO, 5.00% due 1/1/2019 (Cicero and Laramie Development Areas; Insured: AGM)		AA/A2		2,000,000		2,118,980
Town of Cicero Cook County GO, 5.00% due 12/1/2019 (Cicero and Laramie Development Areas)		A+/NR		1,070,000		1,149,490
Town of Cicero Cook County GO, 5.00% due 1/1/2020 (Cicero and Laramie Development Areas; Insured: AGM)		AA/A2		1,450,000		1,572,684
Town of Cicero Cook County GO, 5.00% due 1/1/2021 (Cicero and Laramie Development Areas; Insured: AGM)		AA/A2		1,250,000		1,380,500
Town of Cicero GO, 5.00% due 1/1/2018 (Cicero and Laramie Development Areas; Insured: AGM)		AA/A2		2,375,000		2,439,410
University of Illinois Board of Trustees COP, 5.00% due 10/1/2019 pre-refunded 10/1/2017 (Insured: AGM)		AA/NR		1,045,000		1,067,070
University of Illinois Board of Trustees COP, 5.00% due 10/1/2019 (Insured: AGM)		AA/NR		955,000		973,632
Village of Melrose Park, 5.20% due 7/1/2018 (Insured: Natl-Re)		AA-/A3		1,190,000		1,202,102
Village of Tinley Park GO, 4.00% due 12/1/2022		AA+/NR		625,000		688,144
Will & Kendall Counties Plainfield Community Consolidated School District 202 GO, 5.00% due 1/1/2023 (Capital Improvements; Insured: BAM)		AA/Aa2		8,050,000		9,256,212
Will & Kendall Counties Plainfield Community Consolidated School District 202 GO, 5.00% due 1/1/2024 (Capital Improvements; Insured: BAM)		AA/Aa2		4,580,000		5,317,838
Will & Kendall Counties Plainfield Community Consolidated School District 202 GO, 5.00% due 1/1/2025 (Capital Improvements; Insured: BAM)		AA/Aa2		8,495,000		9,943,397
Will County Valley View Community Unit School District No. 365 GO, 0% due 11/1/2018 (Insured: AGM)		AA/Aa2		3,370,000		3,282,548
INDIANA — 1.77%
Avon Community School Building Corp., 5.00% due 7/15/2017 (Insured: AMBAC) (State Aid Withholding)		AA+/NR		2,500,000		2,529,925
b Avon Community School Building Corp., 4.00% due 7/15/2018		AA+/NR		1,000,000		1,035,800
b Avon Community School Building Corp., 4.00% due 7/15/2019		AA+/NR		1,000,000		1,059,010
b Avon Community School Building Corp., 5.00% due 7/15/2021		AA+/NR		2,200,000		2,490,312
b Avon Community School Building Corp., 5.00% due 7/15/2022		AA+/NR		1,000,000		1,148,950
b Avon Community School Building Corp., 5.00% due 7/15/2023		AA+/NR		600,000		699,366
b Avon Community School Building Corp., 5.00% due 7/15/2024		AA+/NR		285,000		335,063
b Avon Community School Building Corp., 5.00% due 7/15/2025		AA+/NR		600,000		711,744
b Avon Community School Building Corp., 5.00% due 7/15/2026		AA+/NR		700,000		833,077
b Avon Community School Building Corp., 5.00% due 7/15/2027		AA+/NR		1,345,000		1,614,215
Board of Trustees for the Vincennes University, 4.00% due 6/1/2018		NR/Aa3		1,000,000		1,032,740
Board of Trustees for the Vincennes University, 5.00% due 6/1/2020		NR/Aa3		1,000,000		1,111,490
City of Carmel Redevelopment Authority, 5.00% due 8/1/2021 (Road and Intersection Improvements)		AA+/NR		2,405,000		2,720,416
City of Carmel Redevelopment Authority, 5.00% due 8/1/2022 (Road and Intersection Improvements)		AA+/NR		2,510,000		2,877,439
City of Carmel Redevelopment District COP, 5.75% due 7/15/2022 pre-refunded 1/15/2021 (CFP Energy Center, LLC Installment Purchase Agreement)		NR/NR		2,760,000		3,062,910
City of Fort Wayne, 2.00% due 12/1/2017 (Waterworks Utility Improvements)		NR/Aa3		1,175,000		1,183,507
Duneland School Building Corp., 0% due 2/1/2020 (State Aid Withholding)		A/NR		2,970,000		2,821,233
Duneland School Building Corp., 0% due 8/1/2020 (State Aid Withholding)		A/NR		3,470,000		3,258,712
Duneland School Building Corp., 0% due 2/1/2021 (State Aid Withholding)		A/NR		2,770,000		2,568,455
Duneland School Building Corp., 0% due 8/1/2021 (State Aid Withholding)		A/NR		3,270,000		2,994,012
Hamilton Southeastern Consolidated School Building Corp., 5.00% due 7/15/2021 (Educational Facilities; Insured: State Intercept)		AA+/NR		1,230,000		1,398,399
Hamilton Southeastern Consolidated School Building Corp., 5.00% due 7/15/2022 (Educational Facilities; Insured: State Intercept)		AA+/NR		885,000		1,021,166
Hamilton Southeastern Consolidated School Building Corp., 5.00% due 7/15/2023 (Educational Facilities; Insured: State Intercept)		AA+/NR		570,000		663,423
Hamilton Southeastern Consolidated School Building Corp., 5.00% due 1/15/2024 (Educational Facilities; Insured: State Intercept)		AA+/NR		525,000		613,084
Indiana Bond Bank, 5.00% due 10/15/2017 (Special Gas Program)		NR/A3		5,000,000		5,100,900
Indiana Bond Bank, 5.00% due 8/1/2021 (Columbus Learning Center)		AA/NR		1,300,000		1,463,553
Indiana Finance Authority, 5.00% due 5/1/2017 (Parkview Health Systems)		A+/Aa3		1,000,000		1,003,450
Indiana Finance Authority, 5.00% due 9/15/2017 (Marian University Health Sciences)		BBB-/NR		1,940,000		1,961,359
Indiana Finance Authority, 4.00% due 5/1/2018 (Community Health Network)		A/A2		2,820,000		2,906,377
Indiana Finance Authority, 5.25% due 7/1/2018 (Wabash Correctional Facilities)		AA+/Aa1		1,000,000		1,052,260
Indiana Finance Authority, 5.25% due 7/1/2018 (Rockville Correctional Facilities) (ETM)		AA+/Aa1		2,150,000		2,264,853
Indiana Finance Authority, 5.00% due 9/15/2018 (Marian University Health Sciences)		BBB-/NR		1,790,000		1,847,316
Indiana Finance Authority, 5.00% due 11/1/2018 (Indianapolis Airport)		AA+/Aa2		2,750,000		2,918,272
Indiana Finance Authority, 5.00% due 11/1/2018 (Sisters of St. Francis Health Services, Inc.)		NR/Aa3		1,250,000		1,322,975
Indiana Finance Authority, 5.00% due 5/1/2019 (Community Health Network)		A/A2		1,790,000		1,921,458
Indiana Finance Authority, 5.00% due 9/15/2019 (Marian University Health Sciences)		BBB-/NR		1,250,000		1,310,250
Indiana Finance Authority, 5.00% due 3/1/2020 (Indiana University Health System)		AA-/Aa3		5,000,000		5,522,250
Indiana Finance Authority, 5.00% due 5/1/2020 (Community Health Network)		A/A2		860,000		947,711
Indiana Finance Authority, 5.00% due 9/15/2020 (Marian University Health Sciences)		BBB-/NR		2,245,000		2,383,719
Indiana Finance Authority, 5.00% due 3/1/2021 (Indiana University Health System)		AA-/Aa3		9,880,000		11,169,241
Indiana Finance Authority, 5.00% due 5/1/2021 (Community Health Network)		A/A2		2,250,000		2,536,335

Semi-Annual Report    19

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Indiana Finance Authority, 5.00% due 9/15/2021 (Marian University Health Sciences)		BBB-/NR	$	2,320,000	$	2,482,145
Indiana Finance Authority, 5.00% due 10/1/2021 (CWA Authority, Inc. Wastewater System Project)		AA/NR		500,000		570,250
Indiana Finance Authority, 5.00% due 3/1/2022 (Indiana University Health System)		AA-/Aa3		3,240,000		3,628,476
Indiana Finance Authority, 5.00% due 5/1/2022 (Community Health Network)		A/A2		1,230,000		1,409,445
Indiana Finance Authority, 5.00% due 5/1/2022 (Parkview Regional Medical Center)		A+/Aa3		1,135,000		1,307,111
Indiana Finance Authority, 5.00% due 10/1/2023 (CWA Authority, Inc. Wastewater System Project)		AA/NR		1,000,000		1,171,040
Indiana Finance Authority, 5.00% due 10/1/2024 (CWA Authority, Inc. Wastewater System Project)		AA/NR		500,000		592,130
Indiana HFFA, 5.00% due 10/1/2027 put 6/1/2017 (Ascension Health)		NR/Aa3		6,590,000		6,635,076
Knox Middle School Building Corp., 0% due 1/15/2020 (Insured: Natl-Re) (State Aid Withholding)		AA-/A3		1,295,000		1,213,117
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2019 (Educational Facilities) (State Aid Withholding)		AA+/A2		1,000,000		1,045,630
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2019 (Educational Facilities) (State Aid Withholding)		AA+/A2		1,680,000		1,815,408
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2020 (Educational Facilities) (State Aid Withholding)		AA+/A2		1,345,000		1,428,309
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2020 (Educational Facilities) (State Aid Withholding)		AA+/A2		1,170,000		1,294,699
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2021 (Educational Facilities) (State Aid Withholding)		AA+/A2		1,250,000		1,346,150
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2021 (Educational Facilities) (State Aid Withholding)		AA+/A2		1,250,000		1,412,237
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2022 (Educational Facilities) (State Aid Withholding)		AA+/A2		1,455,000		1,574,339
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2022 (Educational Facilities) (State Aid Withholding)		AA+/A2		1,000,000		1,144,610
Perry Township Multischool Building Corp., 4.00% due 1/15/2018 (Educational Facilities) (State Aid Withholding)		AA+/NR		1,000,000		1,023,930
Perry Township Multischool Building Corp., 3.00% due 1/10/2019 (Educational Facilities) (State Aid Withholding)		AA+/NR		1,000,000		1,029,820
Perry Township Multischool Building Corp., 4.00% due 7/10/2019 (Educational Facilities) (State Aid Withholding)		AA+/NR		1,000,000		1,058,340
Perry Township Multischool Building Corp., 5.00% due 7/10/2020 (Educational Facilities) (State Aid Withholding)		AA+/NR		2,090,000		2,310,579
Perry Township Multischool Building Corp., 5.00% due 7/10/2021 (Educational Facilities) (State Aid Withholding)		AA+/NR		1,000,000		1,130,860
Whitko High School Building Corp., 4.00% due 7/15/2018 (School Corp. Capital Improvements) (State Aid Withholding)		AA+/NR		1,025,000		1,063,776
Zionsville Community Schools Building Corp., 5.00% due 7/15/2019 (Insured: AGM) (State Aid Withholding)		AA/A2		1,100,000		1,193,841
IOWA — 0.35%
Des Moines Independent Community School District, 4.00% due 6/1/2019 (School Infrastructure; Insured: AGM)		AA/A2		3,870,000		4,086,062
Des Moines Independent Community School District, 4.00% due 6/1/2020 (School Infrastructure; Insured: AGM)		AA/A2		3,990,000		4,281,031
Des Moines Independent Community School District, 4.00% due 6/1/2021 (School Infrastructure; Insured: AGM)		AA/A2		4,125,000		4,437,593
Des Moines Independent Community School District, 4.00% due 6/1/2022 (School Infrastructure; Insured: AGM)		AA/A2		2,140,000		2,297,354
Iowa Finance Authority, 5.00% due 8/15/2017 (Iowa Health System; Insured: AGM) (ETM)		NR/Aa3		990,000		1,005,563
Iowa Finance Authority, 5.00% due 2/15/2018 (Iowa Health System; Insured: AGM)		NR/Aa3		1,405,000		1,450,915
Iowa Finance Authority, 5.00% due 7/1/2022 (Genesis Health System)		NR/A1		1,735,000		2,003,942
Iowa Finance Authority, 5.00% due 7/1/2023 (Genesis Health System)		NR/A1		2,000,000		2,343,160
Iowa Finance Authority, 5.00% due 7/1/2024 (Genesis Health System)		NR/A1		2,350,000		2,729,243
KANSAS — 0.90%
Johnson County USD No. 512 GO, 4.00% due 10/1/2017 (Shawnee Mission School District)		NR/Aaa		6,700,000		6,808,272
Kansas DFA, 5.00% due 4/1/2020 (National Bio and Agro-Defense Facility)		A+/Aa3		6,980,000		7,676,744
Kansas DFA, 5.00% due 12/1/2020 (New Jobs Training; Insured: BAM)		AA/NR		1,500,000		1,634,355
Kansas DFA, 5.00% due 4/1/2021 (National Bio and Agro-Defense Facility)		A+/Aa3		5,075,000		5,710,593
Kansas DFA, 5.00% due 4/1/2022 (National Bio and Agro-Defense Facility)		A+/Aa3		2,730,000		3,113,046
Kansas DFA, 5.00% due 4/1/2023 (National Bio and Agro-Defense Facility)		A+/Aa3		8,110,000		9,367,699
Kansas DFA, 5.00% due 4/1/2024 (National Bio and Agro-Defense Facility)		A+/Aa3		9,275,000		10,744,253
Kansas DFA, 5.00% due 4/1/2025 (National Bio and Agro-Defense Facility)		A+/Aa3		7,280,000		8,369,233
Unified Government of Wyandotte County-Kansas City, 5.00% due 9/1/2022 (Utility Systems Improvement)		A+/A3		2,000,000		2,300,960
Unified Government of Wyandotte County-Kansas City, 5.00% due 9/1/2023 (Utility Systems Improvement)		A+/A3		1,000,000		1,164,510
Unified Government of Wyandotte County-Kansas City, 5.00% due 9/1/2024 (Utility Systems Improvement)		A+/A3		600,000		706,278
Wyandotte County USD No. 500 GO, 5.00% due 9/1/2025 (General Improvement)		AA-/Aa2		3,300,000		3,929,046
Wyandotte County USD No. 500 GO, 5.00% due 9/1/2026 (General Improvement)		AA-/Aa2		2,375,000		2,848,314
KENTUCKY — 1.86%
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2021 (Project No. 112)		A/Aa3		10,000,000		11,399,700
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2023 (Project No. 112)		A/Aa3		20,000,000		23,365,000
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2025 (Project No. 112)		A/Aa3		25,000,000		29,183,500
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2026 (Project No. 112)		A/Aa3		20,000,000		23,543,400
Kentucky Economic DFA, 0% due 10/1/2019 (Norton Healthcare, Inc.; Insured: Natl-Re)		AA-/A3		5,000,000		4,718,050
Kentucky Economic DFA, 0% due 10/1/2020 (Norton Healthcare, Inc.; Insured: Natl-Re)		AA-/A3		9,600,000		8,784,480
Kentucky Economic DFA, 0% due 10/1/2021 (Norton Healthcare, Inc.; Insured: Natl-Re)		AA-/A3		2,885,000		2,560,668
Kentucky Economic DFA, 0% due 10/1/2023 (Norton Healthcare, Inc.; Insured: Natl-Re)		AA-/A3		4,195,000		3,453,492
Lexington-Fayette Urban County Government Public Facilities Corp., 5.00% due 6/1/2022 (Eastern State Hospital)		A/Aa3		6,165,000		6,942,222
Louisville/Jefferson County Metropolitan Government, 5.00% due 10/1/2024 (Norton Healthcare, Inc.)		A-/NR		1,000,000		1,158,880
Louisville/Jefferson County Metropolitan Government, 5.00% due 10/1/2025 (Norton Healthcare, Inc.)		A-/NR		1,200,000		1,396,008
Louisville/Jefferson County Metropolitan Government, 5.00% due 10/1/2026 (Norton Healthcare, Inc.)		A-/NR		3,000,000		3,498,180
b Louisville/Jefferson County Metropolitan Government, 1.50% due 10/1/2033 (Louisville Gas and Electric Company)		NR/NR		12,725,000		12,731,235

20    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
LOUISIANA — 2.48%
City of Bossier, 4.00% due 12/1/2018 (Public Improvements; Insured: AGM)		AA/Aa3	$	2,020,000	$	2,111,365
City of Bossier, 4.50% due 12/1/2021 (Public Improvements; Insured: AGM)		AA/Aa3		2,240,000		2,503,782
City of Lafayette, 5.00% due 11/1/2019 (Utilities System Improvements)		AA-/A1		1,000,000		1,093,050
City of New Orleans GO, 4.00% due 12/1/2017 (Public Improvements)		AA-/A3		750,000		764,940
City of New Orleans GO, 4.00% due 10/1/2018 (Audubon Park Aquarium; Insured: AGM)		AA/NR		1,110,000		1,147,229
City of New Orleans GO, 4.00% due 12/1/2018 (Public Improvements)		AA-/A3		700,000		731,801
City of New Orleans GO, 4.00% due 12/1/2019 (Public Improvements)		AA-/A3		750,000		799,628
City of New Orleans GO, 5.00% due 12/1/2019 (Public Improvements; Insured: AGM)		AA-/A3		3,080,000		3,364,068
City of New Orleans GO, 5.00% due 12/1/2020 (Public Improvements)		AA-/A3		1,315,000		1,467,842
City of New Orleans GO, 5.00% due 12/1/2020 (Public Improvements; Insured: AGM)		AA-/A3		3,250,000		3,627,747
City of New Orleans GO, 5.00% due 12/1/2021 (Public Improvements)		AA-/A3		1,200,000		1,365,900
City of New Orleans GO, 5.00% due 12/1/2021 (Public Improvements; Insured: AGM)		AA-/A3		5,700,000		6,488,025
City of Shreveport, 5.00% due 12/1/2020 (Water and Sewer System; Insured: BAM)		AA/A3		7,770,000		8,648,632
City of Shreveport, 5.00% due 12/1/2021 (Water and Sewer System; Insured: BAM)		AA/A3		8,185,000		9,264,438
City of Shreveport, 5.00% due 12/1/2022 (Water and Sewer System; Insured: BAM)		AA/A3		6,460,000		7,394,116
City of Shreveport, 5.00% due 12/1/2023 (Water and Sewer System; Insured: BAM)		AA/A3		4,245,000		4,913,036
City of Shreveport, 5.00% due 12/1/2024 (Water and Sewer System; Insured: BAM)		AA/A3		4,490,000		5,224,295
Consolidated Sales Tax District A of the Parish of LaFourche, 4.00% due 3/1/2021 (Roads, Bridges & Drainage Works)		A/NR		1,990,000		2,153,319
Consolidated Sales Tax District A of the Parish of LaFourche, 4.00% due 3/1/2022 (Roads, Bridges & Drainage Works)		A/NR		1,545,000		1,682,366
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2023 (Wastewater System Improvements)		AA-/Aa3		450,000		521,766
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2024 (Wastewater System Improvements)		AA-/Aa3		1,000,000		1,171,170
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2025 (Wastewater System Improvements)		AA-/Aa3		700,000		826,581
Ernest N. Morial - New Orleans Exhibition Hall Authority, 5.00% due 7/15/2020 (Convention Center)		NR/A1		1,000,000		1,111,340
Ernest N. Morial - New Orleans Exhibition Hall Authority, 5.00% due 7/15/2021 (Convention Center)		NR/A1		780,000		885,027
Ernest N. Morial - New Orleans Exhibition Hall Authority, 5.00% due 7/15/2022 (Convention Center)		NR/A1		1,000,000		1,148,680
Ernest N. Morial - New Orleans Exhibition Hall Authority, 5.00% due 7/15/2023 (Convention Center)		NR/A1		1,000,000		1,137,710
Jefferson Sales Tax District Parish of Jefferson, 5.00% due 12/1/2018 (Sewerage Capital Project; Insured: AGM)		AA/A2		2,000,000		2,128,600
Louisiana Energy & Power Authority, 5.00% due 1/1/2020 (Rodemacher Unit No. 2 Power)		A-/Baa1		1,000,000		1,091,660
Louisiana Energy & Power Authority, 5.00% due 1/1/2021 (Rodemacher Unit No. 2 Power)		A-/Baa1		1,000,000		1,117,820
Louisiana Energy & Power Authority, 5.00% due 6/1/2022 (LEPA Unit No. 1 Power; Insured: AGM)		AA/A2		1,000,000		1,155,770
Louisiana Energy & Power Authority, 5.00% due 1/1/2023 (Rodemacher Unit No. 2 Power)		A-/Baa1		1,740,000		1,991,621
Louisiana Energy & Power Authority, 5.00% due 6/1/2023 (LEPA Unit No. 1 Power; Insured: AGM)		AA/A2		750,000		879,045
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 10/1/2017 (Town of Vinton Public Power Authority; Insured: AGM)		AA/NR		1,000,000		1,012,460
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2018 (Independence Stadium) (ETM)		A/NR		1,000,000		1,037,160
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.50% due 10/1/2018 (Town of Vinton Public Power Authority; Insured: AGM)		AA/NR		1,000,000		1,041,750
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 12/1/2018 (Bossier Parish Community College — Campus Facilities Project, Inc.)		A+/NR		2,655,000		2,781,537
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.50% due 10/1/2019 (Town of Vinton Public Power Authority; Insured: AGM)		AA/NR		1,000,000		1,062,550
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 12/1/2019 (Bossier Parish Community College — Campus Facilities, Inc. Project)		A+/NR		1,310,000		1,395,910
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 12/1/2020 (Bossier Parish Community College — Campus Facilities, Inc. Project)		A+/NR		1,200,000		1,338,948
Louisiana Offshore Terminal Authority, 5.00% due 10/1/2018 (Deepwater Oil Port-Loop LLC)		BBB/NR		22,140,000		23,202,277
Louisiana Offshore Terminal Authority, 2.20% due 10/1/2040 put 10/1/2017 (Deepwater Oil Port-Loop LLC)		BBB/NR		6,000,000		6,022,020
Louisiana Public Facilities Authority, 5.00% due 5/15/2017 (Ochsner Clinic Foundation)		NR/Baa1		750,000		753,773
Louisiana Public Facilities Authority, 5.00% due 5/15/2017 (Ochsner Clinic Foundation) (ETM)		NR/NR		285,000		286,493
Louisiana Public Facilities Authority, 5.00% due 5/15/2018 pre-refunded 5/15/2017 (Ochsner Clinic Foundation)		NR/NR		550,000		552,866
Louisiana Public Facilities Authority, 5.00% due 5/15/2018 (Ochsner Clinic Foundation)		NR/Baa1		1,450,000		1,456,931
Louisiana Public Facilities Authority, 5.00% due 6/1/2022 (Hurricane Recovery Program)		NR/A1		2,945,000		3,351,646
Louisiana Public Facilities Authority, 5.00% due 6/1/2023 (Hurricane Recovery Program)		NR/A1		5,000,000		5,763,150
Louisiana State Office Facilities Corp., 5.00% due 5/1/2018 (State Capitol)		NR/A1		2,500,000		2,607,475
Louisiana State Office Facilities Corp., 5.00% due 5/1/2021 (State Capitol)		NR/A1		4,595,000		5,050,548
New Orleans Regional Transit Authority, 5.00% due 12/1/2017 (Streetcar Rail Lines; Insured: AGM)		AA/Aa3		755,000		775,483
New Orleans Regional Transit Authority, 5.00% due 12/1/2019 (Streetcar Rail Lines; Insured: AGM)		AA/Aa3		1,000,000		1,093,830
New Orleans Regional Transit Authority, 5.00% due 12/1/2021 (Streetcar Rail Lines; Insured: AGM)		AA/Aa3		1,000,000		1,106,580
New Orleans Regional Transit Authority, 5.00% due 12/1/2022 (Streetcar Rail Lines; Insured: AGM)		AA/Aa3		1,110,000		1,235,175
Parish of LaFourche, 5.00% due 1/1/2019 (Roads, Highways & Bridges)		AA-/NR		595,000		633,169
Parish of LaFourche, 5.00% due 1/1/2022 (Roads, Highways & Bridges)		AA-/NR		415,000		470,934
Parish of LaFourche, 5.00% due 1/1/2023 (Roads, Highways & Bridges)		AA-/NR		515,000		590,968
Parish of Orleans School District GO, 5.00% due 9/1/2018 (Insured: AGM)		AA/Aa3		4,800,000		5,040,288
Parish of Orleans School District GO, 5.00% due 9/1/2020 (Insured: AGM)		AA/Aa3		3,840,000		4,235,443

Semi-Annual Report    21

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Parish of Plaquemines Law Enforcement District GO, 5.00% due 9/1/2019		A+/NR	$	1,005,000	$	1,071,561
Parish of Plaquemines Law Enforcement District GO, 5.00% due 9/1/2021 pre-refunded 9/1/2019		A+/NR		1,115,000		1,217,000
Parish of St. Charles, 4.00% due 12/1/2040 put 6/1/2022 (Valero Energy Corp. Refinery)		BBB/Baa2		14,195,000		14,892,116
Parish of Terrebonne Hospital Service District No. 1, 4.00% due 4/1/2017 (Terrebonne General Medical Center)		A/A3		1,000,000		1,000,000
Parish of Terrebonne Hospital Service District No. 1, 5.00% due 4/1/2018 (Terrebonne General Medical Center)		A/A3		1,000,000		1,037,920
Parish of Terrebonne Hospital Service District No. 1, 5.00% due 4/1/2019 (Terrebonne General Medical Center)		A/A3		1,810,000		1,938,076
Parish of Terrebonne Hospital Service District No. 1, 5.00% due 4/1/2021 (Terrebonne General Medical Center)		A/A3		2,320,000		2,539,797
MAINE — 0.08%
Maine Governmental Facilities Authority, 5.00% due 10/1/2020 (Augusta & Machias Courthouses)		AA-/Aa3		1,245,000		1,386,270
Maine Governmental Facilities Authority, 5.00% due 10/1/2021 (Augusta & Machias Courthouses)		AA-/Aa3		1,315,000		1,494,879
Maine Governmental Facilities Authority, 5.00% due 10/1/2022 (Augusta & Machias Courthouses)		AA-/Aa3		1,175,000		1,352,766
Maine Governmental Facilities Authority, 5.00% due 10/1/2023 (Augusta & Machias Courthouses)		AA-/Aa3		1,445,000		1,683,569
MARYLAND — 0.44%
Maryland Economic Development Corp., 5.00% due 6/1/2021 (Public Health Laboratory)		AA+/Aa1		8,725,000		9,953,829
Maryland Economic Development Corp., 4.00% due 6/1/2022 (Public Health Laboratory)		AA+/Aa1		8,245,000		8,951,184
Prince George’s County GO, 5.00% due 9/15/2017 (Consolidated Public Improvements)		AAA/Aaa		12,340,000		12,578,162
MASSACHUSETTS — 1.29%
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2017		A/NR		2,540,000		2,564,943
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2018		A/NR		2,825,000		2,954,837
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2019		A/NR		2,765,000		2,980,172
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2020		A/NR		2,965,000		3,260,344
City of Quincy GO, 2.00% due 6/16/2017 (Capital Improvements)		SP-1+/NR		6,870,000		6,885,389
Massachusetts Development Finance Agency, 3.00% due 7/1/2018 (Mount Auburn Hospital Health Records System)		A-/A3		1,000,000		1,021,630
Massachusetts Development Finance Agency, 5.00% due 7/1/2022 (Mount Auburn Hospital Health Records System)		A-/A3		2,750,000		3,143,718
Massachusetts Development Finance Agency, 5.00% due 7/1/2023 (Mount Auburn Hospital Health Records System)		A-/A3		4,000,000		4,630,400
Massachusetts Development Finance Agency, 5.00% due 7/1/2023 (CareGroup Healthcare)		A-/A3		2,500,000		2,901,900
Massachusetts Development Finance Agency, 5.25% due 10/1/2023 (Simmons College)		BBB+/Baa1		595,000		683,084
Massachusetts Development Finance Agency, 5.00% due 7/1/2024 (Mount Auburn Hospital Health Records System)		A-/A3		6,050,000		7,077,713
Massachusetts Development Finance Agency, 5.00% due 7/1/2024 (CareGroup Healthcare)		A-/A3		3,020,000		3,533,007
Massachusetts Development Finance Agency, 5.00% due 7/1/2025 (Mount Auburn Hospital Health Records System)		A-/A3		2,465,000		2,907,714
Massachusetts Development Finance Agency, 5.00% due 7/1/2025 (CareGroup Healthcare)		A-/A3		2,500,000		2,949,000
Massachusetts Development Finance Agency, 5.00% due 7/1/2026 (CareGroup Healthcare)		A-/A3		3,000,000		3,564,090
Massachusetts Development Finance Agency, 5.75% due 12/1/2042 pre-refunded 5/1/2019 (Dominion Energy Brayton Point Station Units 1 and 2)		BBB/Baa2		2,000,000		2,188,700
Massachusetts Educational Financing Authority, 5.50% due 1/1/2018		AA/NR		11,170,000		11,532,466
Massachusetts Educational Financing Authority, 5.75% due 1/1/2020		AA/NR		7,500,000		8,267,700
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2018 (UMass Memorial Health Care)		BBB+/Baa3		4,290,000		4,474,599
Massachusetts Health & Educational Facilities Authority, 0.95% due 7/1/2044 put 4/3/2017 (Baystate Medical Center; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes)		AA+/Aa1		2,770,000		2,770,000
Massachusetts Housing Finance Agency, 2.00% due 6/1/2019 (Low and Moderate Income Housing)		AA-/Aa3		11,915,000		11,993,162
MICHIGAN — 3.45%
Board of Governors of Wayne State University, 5.00% due 11/15/2022 (Educational Facilities and Equipment)		A+/Aa3		425,000		487,909
Board of Governors of Wayne State University, 5.00% due 11/15/2023 (Educational Facilities and Equipment)		A+/Aa3		305,000		355,261
Board of Governors of Wayne State University, 5.00% due 11/15/2024 (Educational Facilities and Equipment)		A+/Aa3		515,000		602,478
Board of Governors of Wayne State University, 5.00% due 11/15/2025 (Educational Facilities and Equipment)		A+/Aa3		625,000		730,100
Byron Center Michigan Public Schools, 4.00% due 5/1/2017 (Insured: AGM/Q-SBLF)		AA/NR		1,305,000		1,308,484
Byron Center Michigan Public Schools, 4.00% due 5/1/2018 (Insured: AGM/Q-SBLF)		AA/NR		1,935,000		1,997,462
Byron Center Michigan Public Schools, 4.00% due 5/1/2020 (Insured: AGM/Q-SBLF)		AA/NR		1,000,000		1,076,410
City of Battle Creek GO, 5.00% due 5/1/2020 (Downtown Development; Insured: AMBAC)		AA/NR		960,000		998,784
City of Battle Creek GO, 5.00% due 5/1/2020 pre-refunded 5/1/2018 (Downtown Development; Insured: AMBAC)		NR/NR		2,240,000		2,338,022
County of Genesee GO, 5.00% due 11/1/2022 (Water Supply System; Insured: BAM)		AA/A2		600,000		680,094
County of Livingston GO, 4.00% due 5/1/2018 (Howell Public Schools; Insured: Q-SBLF)		AA-/NR		1,000,000		1,031,620
County of Livingston GO, 4.00% due 5/1/2020 (Howell Public Schools; Insured: Q-SBLF)		AA-/NR		1,000,000		1,073,800
County of Livingston GO, 4.00% due 5/1/2021 (Howell Public Schools; Insured: Q-SBLF)		AA-/NR		1,000,000		1,090,080
Kalamazoo Hospital Finance Authority, 4.50% due 5/15/2017 (Bronson Methodist Hospital; Insured: AGM)		NR/A2		1,830,000		1,837,851
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2018 (Bronson Methodist Hospital; Insured: AGM)		AA/A2		2,500,000		2,603,500
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2018 (Bronson Methodist Hospital; Insured: AGM)		AA/A2		1,520,000		1,582,928
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2020 (Bronson Methodist Hospital; Insured: AGM)		NR/A2		1,735,000		1,914,382
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2021 pre-refunded 5/15/2020 (Bronson Methodist Hospital; Insured: AGM)		NR/A2		1,300,000		1,443,221
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2021 (Bronson Methodist Hospital; Insured: AGM)		NR/A2		1,050,000		1,155,189
Livonia Public Schools School District GO, 4.00% due 5/1/2020 (School Building & Site)		A/A3		800,000		846,624
Livonia Public Schools School District GO, 5.00% due 5/1/2021 (School Building & Site)		A/A3		900,000		1,002,861

22    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Michigan Finance Authority, 4.00% due 8/1/2018 (Beaumont Health Credit Group)	A/A1	$	500,000	$	518,265
Michigan Finance Authority, 5.00% due 8/1/2019 (Ypsilanti Community Schools)	A+/NR		1,150,000		1,237,101
Michigan Finance Authority, 5.00% due 8/1/2020 (Ypsilanti Community Schools)	A+/NR		1,220,000		1,338,450
Michigan Finance Authority, 5.00% due 8/1/2021 (Ypsilanti Community Schools)	A+/NR		1,295,000		1,447,072
Michigan Finance Authority, 5.00% due 8/1/2022 (Ypsilanti Community Schools)	A+/NR		1,375,000		1,556,184
Michigan Finance Authority, 5.00% due 12/1/2022 (Trinity Health Credit Group)	AA-/Aa3		1,000,000		1,159,490
Michigan Finance Authority, 5.00% due 8/1/2023 (Beaumont Health Credit Group)	A/A1		3,800,000		4,369,582
Michigan Finance Authority, 5.00% due 12/1/2023 (Trinity Health Credit Group)	AA-/Aa3		2,500,000		2,933,450
Michigan Finance Authority, 5.00% due 8/1/2024 (Beaumont Health Credit Group)	A/A1		7,000,000		8,099,630
Michigan Finance Authority, 5.00% due 12/1/2024 (Trinity Health Credit Group)	AA-/Aa3		1,000,000		1,183,340
Michigan Finance Authority, 5.00% due 8/1/2025 (Beaumont Health Credit Group)	A/A1		8,000,000		9,228,960
Michigan Finance Authority, 5.00% due 11/15/2027 (Henry Ford Health System)	A/A3		1,000,000		1,150,610
Michigan Municipal Bond Authority, 5.00% due 10/1/2020 (Clean Water Fund)	AAA/Aaa		35,000		36,310
Michigan State Building Authority, 5.50% due 10/15/2017 (ETM)	NR/NR		525,000		538,277
Michigan State Building Authority, 5.50% due 10/15/2017 (Facilities Program) (ETM)	NR/NR		165,000		169,183
Michigan State Building Authority, 5.50% due 10/15/2017 (Facilities Program)	A+/Aa2		3,460,000		3,546,569
Michigan State Building Authority, 5.00% due 4/15/2023 (Facilities Program)	A+/Aa2		1,000,000		1,166,750
Michigan State Building Authority, 5.00% due 4/15/2024 (Facilities Program)	A+/Aa2		1,000,000		1,177,760
Michigan State Building Authority, 5.00% due 4/15/2025 (Facilities Program)	A+/Aa2		1,555,000		1,845,396
Michigan State Building Authority, 5.00% due 4/15/2026 (Facilities Program)	A+/Aa2		750,000		892,448
Michigan State Hospital Finance Authority, 5.00% due 11/15/2017 (Sparrow Memorial Hospital)	A+/A1		1,500,000		1,536,915
Michigan State Hospital Finance Authority, 5.50% due 11/15/2017 (Henry Ford Health System) (ETM)	A/A3		1,530,000		1,574,431
Michigan State Hospital Finance Authority, 5.00% due 7/15/2018 pre-refunded 7/15/2017 (Oakwood Hospital)	A/A1		1,000,000		1,012,180
Michigan State Hospital Finance Authority, 5.50% due 11/15/2018 (Henry Ford Health System) (ETM)	A/A3		3,500,000		3,749,830
Michigan State Hospital Finance Authority, 6.00% due 12/1/2018 (Trinity Health)	AA-/Aa3		2,000,000		2,159,740
Michigan State Hospital Finance Authority, 5.00% due 7/15/2019 pre-refunded 7/15/2017 (Oakwood Hospital)	A/A1		2,000,000		2,024,360
Michigan State Hospital Finance Authority, 5.00% due 10/1/2026 put 6/1/2017 (Ascension Health)	NR/Aa3		11,100,000		11,176,146
Michigan State Hospital Finance Authority, 1.90% due 11/15/2047 (Ascension Health)	AA+/Aa2		2,900,000		2,900,232
Michigan Strategic Fund, 5.00% due 10/15/2017 (Michigan House of Representatives Facilities; Insured: AGM)	AA/Aa2		2,000,000		2,043,020
Michigan Strategic Fund, 5.25% due 10/15/2019 pre-refunded 10/15/2018 (Michigan House of Representatives Facilities; Insured: AGM)	AA/Aa2		2,550,000		2,714,246
Michigan Strategic Fund, 5.25% due 10/15/2020 pre-refunded 10/15/2018 (Michigan House of Representatives Facilities; Insured: AGM)	AA/Aa2		4,025,000		4,284,250
Novi Community School District GO, 5.00% due 5/1/2018 (Michigan School Bond Qualification and Loan Program; Insured: Q-SBLF)	NR/Aa1		1,000,000		1,042,360
Novi Community School District GO, 5.00% due 5/1/2019 (Michigan School Bond Qualification and Loan Program; Insured: Q-SBLF)	NR/Aa1		800,000		860,184
Plymouth-Canton Community Schools GO, 4.00% due 5/1/2018 (Insured: Q-SBLF)	NR/Aa1		1,500,000		1,547,430
Plymouth-Canton Community Schools GO, 4.00% due 5/1/2019 (Insured: Q-SBLF)	NR/Aa1		1,000,000		1,054,750
Plymouth-Canton Community Schools GO, 5.00% due 5/1/2020 (Insured: Q-SBLF)	NR/Aa1		1,000,000		1,103,790
Royal Oak Hospital Finance Authority, 5.25% due 8/1/2017 (William Beaumont Hospital) (ETM)	NR/A1		5,855,000		5,942,825
Royal Oak Hospital Finance Authority, 5.00% due 9/1/2020 (William Beaumont Hospital)	A/A1		1,200,000		1,333,548
Royal Oak Hospital Finance Authority, 5.00% due 9/1/2021 (William Beaumont Hospital)	A/A1		2,500,000		2,832,025
Royal Oak Hospital Finance Authority, 5.00% due 9/1/2023 (William Beaumont Hospital)	A/A1		1,240,000		1,427,190
Royal Oak Hospital Finance Authority, 5.00% due 9/1/2024 (William Beaumont Hospital)	A/A1		2,000,000		2,302,000
School District of the City of Dearborn GO, 3.00% due 5/1/2019 (Insured: Q-SBLF) (State Aid Withholding)	NR/Aa1		445,000		460,250
School District of the City of Dearborn GO, 4.00% due 5/1/2020 (Insured: Q-SBLF) (State Aid Withholding)	NR/Aa1		350,000		375,830
School District of the City of Dearborn GO, 4.00% due 5/1/2021 (Insured: Q-SBLF) (State Aid Withholding)	NR/Aa1		570,000		621,346
School District of the City of Dearborn GO, 4.00% due 5/1/2022 (Insured: Q-SBLF) (State Aid Withholding)	NR/Aa1		535,000		587,842
School District of the City of Dearborn GO, 4.00% due 5/1/2023 (Insured: Q-SBLF) (State Aid Withholding)	NR/Aa1		625,000		690,988
School District of the City of Detroit GO, 5.00% due 5/1/2020 (Wayne County School Building & Site; Insured: Q-SBLF)	AA-/Aa1		2,200,000		2,399,144
School District of the City of Detroit GO, 5.00% due 5/1/2021 (Wayne County School Building & Site; Insured: Q-SBLF)	AA-/Aa1		4,000,000		4,437,280
School District of the City of Detroit GO, 5.00% due 5/1/2022 (Wayne County School Building & Site; Insured: Q-SBLF)	AA-/Aa1		3,000,000		3,365,070
Sparta Area Schools, Counties of Kent and Ottawa GO, 5.00% due 5/1/2017 (School Building & Site; Insured: Q-SBLF)	AA-/NR		1,085,000		1,088,635
Sparta Area Schools, Counties of Kent and Ottawa GO, 5.00% due 5/1/2018 (School Building & Site; Insured: Q-SBLF)	AA-/NR		1,285,000		1,337,775
Sparta Area Schools, Counties of Kent and Ottawa GO, 5.00% due 5/1/2020 (School Building & Site; Insured: Q-SBLF)	AA-/NR		1,335,000		1,476,684
St. Johns Public Schools GO, 5.00% due 5/1/2021 (Insured: Natl-Re/FGIC/Q-SBLF)	AA-/Aa2		1,000,000		1,129,360
State Building Authority of the State of Michigan, 5.00% due 10/15/2020 (Higher Education Facilities Program)	A+/Aa2		1,000,000		1,123,260
State Building Authority of the State of Michigan, 5.00% due 10/15/2021 (Higher Education Facilities Program)	A+/Aa2		1,000,000		1,146,210
State Building Authority of the State of Michigan, 5.00% due 10/15/2022 (Higher Education Facilities Program)	A+/Aa2		3,000,000		3,483,960
State Building Authority of the State of Michigan, 5.00% due 10/15/2023 (Higher Education Facilities Program)	A+/Aa2		7,715,000		9,064,739
State of Michigan, 5.00% due 3/15/2025 (Jobs Today Highway Program & Governor’s Economic Stimulus Program)	AA/A2		19,000,000		22,482,510
Utica Community Schools County of Macomb GO, 4.00% due 5/1/2018 (Technology Infrastructure Improvements; Insured: Q-SBLF)	AA-/NR		1,725,000		1,778,906
Utica Community Schools County of Macomb GO, 4.00% due 5/1/2019 (Technology Infrastructure Improvements; Insured: Q-SBLF)	AA-/NR		9,925,000		10,461,347

Semi-Annual Report    23

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Warren Consolidated School District GO, 4.00% due 5/1/2017 (Insured: Q-SBLF)	AA-/NR	$	1,035,000	$	1,037,670
Warren Consolidated School District GO, 5.00% due 5/1/2018 (Insured: Q-SBLF)	AA-/NR		1,000,000		1,041,990
Warren Consolidated School District GO, 5.00% due 5/1/2020 (Insured: Q-SBLF)	AA-/NR		1,000,000		1,102,840
Warren Consolidated School District GO, 5.00% due 5/1/2021 (Insured: Q-SBLF)	AA-/NR		1,000,000		1,126,830
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport; Insured: Natl-Re)	AA-/A2		1,000,000		1,026,080
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport)	A/A2		2,420,000		2,482,121
Wayne County Airport Authority, 5.00% due 12/1/2019 (Detroit Metropolitan Airport)	A/A2		12,645,000		13,760,795
Wayne County Airport Authority, 5.50% due 12/1/2019 (Detroit Metropolitan Airport)	A/A2		2,600,000		2,863,224
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport)	A/A2		4,395,000		4,936,903
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport)	A/A2		3,115,000		3,499,079
Wayne State University, 5.00% due 11/15/2023	A+/Aa3		3,865,000		4,481,313
Wayne State University, 5.00% due 11/15/2024	A+/Aa3		4,840,000		5,662,122
Wayne State University, 5.00% due 11/15/2025	A+/Aa3		5,775,000		6,791,111
Wayne State University, 5.00% due 11/15/2026	A+/Aa3		3,000,000		3,523,080
Western Townships Utilities Authority GO, 5.00% due 1/1/2018 (Sewage Disposal System)	AA/NR		1,500,000		1,543,665
MINNESOTA — 0.70%
City of Rochester, 4.00% due 11/15/2030 (Mayo Clinic)	AA/Aa2		1,400,000		1,463,700
City of St. Cloud, 5.00% due 5/1/2017 (CentraCare Health System)	NR/A1		2,920,000		2,930,570
City of St. Cloud, 5.00% due 5/1/2017 (CentraCare Health System)	NR/A1		1,000,000		1,003,620
City of St. Cloud, 5.00% due 5/1/2018 (CentraCare Health System)	NR/A1		3,105,000		3,236,528
City of St. Cloud, 5.00% due 5/1/2019 (CentraCare Health System)	NR/A1		3,495,000		3,763,661
City of St. Cloud, 5.00% due 5/1/2020 (CentraCare Health System)	NR/A1		3,310,000		3,664,468
City of St. Paul Housing & Redevelopment Authority, 5.00% due 2/1/2018 (Gillette Children’s Specialty Healthcare Project)	A/NR		1,255,000		1,289,475
City of St. Paul Housing & Redevelopment Authority, 5.25% due 2/1/2020 (Gillette Children’s Specialty Healthcare Project)	A/NR		2,010,000		2,132,127
County of Clay GO, 3.00% due 4/1/2018 (State-Aid Road Improvements)	AA/NR		1,225,000		1,250,860
Le Sueur-Henderson ISD No. 2397 GO, 3.00% due 4/1/2021 (Minnesota School District Credit Enhancement Program)	AA+/NR		1,125,000		1,185,356
Northern Municipal Power Agency, 5.00% due 1/1/2019 (Electric System)	A-/A3		5,000,000		5,336,100
Northern Municipal Power Agency, 5.00% due 1/1/2020 (Electric System)	A-/A3		3,500,000		3,843,665
Port Authority of the City of St. Paul, 5.00% due 12/1/2017 (Minnesota Andersen Office Building)	AA/Aa2		4,945,000		5,076,636
Port Authority of the City of St. Paul, 4.00% due 12/1/2018 (Minnesota Freeman Office Building)	AA/Aa2		3,925,000		4,108,062
Port Authority of the City of St. Paul, 5.00% due 12/1/2019 (Minnesota Freeman Office Building)	AA/Aa2		2,000,000		2,190,700
Port Authority of the City of St. Paul, 5.00% due 12/1/2020 (Minnesota Freeman Office Building)	AA/Aa2		2,675,000		3,001,270
Port Authority of the City of St. Paul, 5.00% due 12/1/2021 (Minnesota Andersen Office Building)	AA/Aa2		965,000		1,105,301
Port Authority of the City of St. Paul, 5.00% due 12/1/2022 (Minnesota Andersen Office Building)	AA/Aa2		1,250,000		1,455,800
St. Paul Housing and Redevelopment Authority, 5.00% due 7/1/2023 (HealthPartners)	A/A2		1,000,000		1,160,760
St. Paul Housing and Redevelopment Authority, 5.00% due 7/1/2024 (HealthPartners)	A/A2		600,000		703,662
St. Paul Housing and Redevelopment Authority, 5.00% due 7/1/2025 (HealthPartners)	A/A2		250,000		294,695
MISSISSIPPI — 0.29%
Lamar County School District GO, 3.50% due 6/1/2017 (Educational and Performing Arts Capital Projects)	A/NR		1,700,000		1,707,191
Mississippi Development Bank, 4.75% due 7/1/2017 (Canton GO Public Improvement Project) (ETM)	NR/NR		335,000		338,089
Mississippi Development Bank, 5.00% due 8/1/2018 (Department of Corrections)	AA-/NR		4,910,000		5,166,351
Mississippi Development Bank, 5.00% due 1/1/2020 (MDOT-Harrison County Highway)	AA-/Aa3		1,500,000		1,639,605
Mississippi Development Bank, 5.00% due 1/1/2020 (MDOT-Madison County Highway)	AA-/Aa3		1,000,000		1,093,070
Mississippi Development Bank, 5.00% due 1/1/2021 (MDOT-Harrison County Highway)	AA-/Aa3		2,500,000		2,802,300
Mississippi Development Bank, 5.00% due 1/1/2021 (MDOT-Madison County Highway)	AA-/Aa3		2,000,000		2,241,840
a Mississippi Development Bank, 5.00% due 1/1/2022 (MDOT-Harrison County Highway)	AA-/Aa3		1,000,000		1,136,240
Mississippi Development Bank, 5.00% due 1/1/2022 (MDOT-Madison County Highway)	AA-/Aa3		1,000,000		1,136,240
Mississippi Development Bank, 5.00% due 1/1/2023 (MDOT-Harrison County Highway)	AA-/Aa3		1,500,000		1,721,265
Mississippi Development Bank, 5.00% due 1/1/2023 (MDOT-Madison County Highway)	AA-/Aa3		1,250,000		1,434,387
MISSOURI — 1.43%
Cass County COP, 4.00% due 5/1/2018	A/NR		2,255,000		2,311,646
Cass County COP, 4.50% due 5/1/2019	A/NR		1,270,000		1,337,666
Cass County COP, 5.00% due 5/1/2020	A/NR		2,255,000		2,449,223
Cass County COP, 5.00% due 5/1/2021	A/NR		1,750,000		1,891,662
Jackson County, 4.00% due 12/1/2017 (Parking Facility Projects)	NR/Aa3		500,000		510,385
Jackson County, 4.00% due 12/1/2019 (Parking Facility Projects)	NR/Aa3		500,000		534,150
Jackson County, 4.00% due 12/1/2021 (Parking Facility Projects)	NR/Aa3		1,000,000		1,100,220
Kansas City IDA, 5.00% due 9/1/2018 (Kansas City Redevelopment District) (ETM)	NR/NR		695,000		734,170
Kansas City IDA, 5.00% due 9/1/2018 (Kansas City Redevelopment District)	AA-/A1		1,305,000		1,377,088
Kansas City Municipal Assistance Corp., 5.00% due 4/15/2018 (H. Roe Bartle Convention Center & Infrastructure Project; Insured: Natl-Re)	AA/A1		1,000,000		1,038,860
Kansas City Municipal Assistance Corp., 0% due 4/15/2021 (H. Roe Bartle Convention Center & Infrastructure Project; Insured: AMBAC)	AA-/A1		10,055,000		9,072,124

24    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Kansas City Municipal Assistance Corp., 0% due 4/15/2022 (H. Roe Bartle Convention Center & Infrastructure Project; Insured: AMBAC)		AA-/A1	$	5,040,000	$	4,398,206
Missouri Development Finance Board, 5.00% due 6/1/2017 (City of Independence Electric System)		A/NR		1,525,000		1,534,485
Missouri Development Finance Board, 5.00% due 6/1/2018 (City of Independence Electric System)		A/NR		1,705,000		1,772,910
Missouri Development Finance Board, 4.00% due 6/1/2019 (City of Independence Electric System)		A/NR		1,000,000		1,046,050
Missouri Development Finance Board, 5.00% due 6/1/2019 (City of Independence Electric System)		A/NR		1,790,000		1,910,288
Missouri Development Finance Board, 4.00% due 6/1/2020 (City of Independence Electric System)		A/NR		1,265,000		1,335,764
Missouri Development Finance Board, 5.00% due 6/1/2020 (City of Independence Electric System)		A/NR		1,000,000		1,086,390
Missouri Development Finance Board, 4.00% due 6/1/2021 (City of Independence Electric System)		A/NR		2,465,000		2,624,633
Missouri Development Finance Board, 4.00% due 6/1/2022 (City of Independence Electric System)		A/NR		3,155,000		3,371,938
Missouri Development Finance Board, 0.95% due 12/1/2033 put 4/3/2017 (The Nelson Gallery Foundation; SPA: Northern Trust Co.) (daily demand notes)		AAA/Aaa		21,655,000		21,655,000
Missouri Health and Educational Facilities Authority, 5.00% due 5/15/2017 (Children’s Mercy Hospital)		A+/NR		1,000,000		1,005,080
Missouri Health and Educational Facilities Authority, 5.00% due 5/15/2019 (Children’s Mercy Hospital)		A+/NR		1,000,000		1,077,090
Missouri Health and Educational Facilities Authority, 5.00% due 5/15/2020 pre-refunded 5/15/2019 (Children’s Mercy Hospital)		NR/NR		830,000		896,400
Missouri Health and Educational Facilities Authority, 5.00% due 5/15/2020 (Children’s Mercy Hospital)		A+/NR		170,000		183,935
Missouri Health and Educational Facilities Authority, 5.00% due 11/15/2020 (Saint Luke’s Health System, Inc.)		A+/A1		1,400,000		1,558,480
Missouri Health and Educational Facilities Authority, 5.00% due 11/15/2021 (Saint Luke’s Health System, Inc.)		A+/A1		1,710,000		1,934,985
Missouri Health and Educational Facilities Authority, 5.00% due 11/15/2023 (Saint Luke’s Health System, Inc.)		A+/A1		2,000,000		2,312,300
Missouri Health and Educational Facilities Authority, 5.00% due 11/15/2024 (Saint Luke’s Health System, Inc.)		A+/A1		1,585,000		1,848,253
Missouri Health and Educational Facilities Authority, 5.00% due 11/15/2026 (Saint Luke’s Health System, Inc.)		NR/NR		2,000,000		2,346,740
Platte County, 4.00% due 4/1/2017 (Community & Resource Centers)		NR/A1		1,500,000		1,500,000
Platte County, 4.00% due 4/1/2018 (Community & Resource Centers)		NR/A1		2,110,000		2,163,446
Platte County, 5.00% due 4/1/2019 (Community & Resource Centers)		NR/A1		2,000,000		2,134,140
Platte County, 5.00% due 4/1/2021 (Community & Resource Centers)		NR/A1		2,440,000		2,714,598
Southeast Missouri State University, 5.00% due 4/1/2018 (City of Cape Girardeau Campus System Facilities)		A/NR		1,165,000		1,210,249
Southeast Missouri State University, 5.00% due 4/1/2020 (City of Cape Girardeau Campus System Facilities)		A/NR		2,825,000		3,106,116
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2019 (State Aid Withholding)		AA+/NR		1,615,000		1,699,997
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2020 (State Aid Withholding)		AA+/NR		1,600,000		1,713,504
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2021 (State Aid Withholding)		AA+/NR		2,055,000		2,231,237
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2022 (State Aid Withholding)		AA+/NR		3,300,000		3,615,480
St. Louis Municipal Finance Corp., 5.00% due 2/15/2018 (City Justice Center)		A/Baa1		3,865,000		3,992,352
MONTANA — 0.19%
City of Forsyth, 0.90% due 1/1/2018 put 4/3/2017 (PacifiCorp; LOC: Bank of Nova Scotia) (daily demand notes)		A+/Aa2		13,260,000		13,260,000
NEBRASKA — 0.11%
Douglas County Hospital Authority No. 3, 5.00% due 11/1/2022 (Nebraska Methodist Health System)		A-/NR		1,670,000		1,902,581
Douglas County Hospital Authority No. 3, 5.00% due 11/1/2023 (Nebraska Methodist Health System)		A-/NR		1,905,000		2,191,531
Douglas County Hospital Authority No. 3, 5.00% due 11/1/2024 (Nebraska Methodist Health System)		A-/NR		1,400,000		1,619,408
Douglas County Hospital Authority No. 3, 5.00% due 11/1/2025 (Nebraska Methodist Health System)		A-/NR		2,005,000		2,327,244
NEVADA — 3.43%
Carson City, 5.00% due 9/1/2019 (Carson Tahoe Regional Healthcare)		BBB+/NR		1,000,000		1,075,810
Carson City, 5.00% due 9/1/2020 (Carson Tahoe Regional Healthcare)		BBB+/NR		1,000,000		1,098,680
Carson City, 5.00% due 9/1/2022 (Carson Tahoe Regional Healthcare)		BBB+/NR		2,450,000		2,773,008
a City of Las Vegas COP, 5.00% due 9/1/2017 (City Hall)		AA-/Aa3		2,690,000		2,736,107
City of Las Vegas COP, 5.00% due 9/1/2017 (City Hall)		NR/NR		1,610,000		1,638,288
City of Las Vegas COP, 5.00% due 9/1/2018 (City Hall)		AA-/Aa3		3,280,000		3,433,799
City of Las Vegas COP, 5.00% due 9/1/2018 (City Hall)		NR/NR		720,000		760,471
City of Las Vegas GO, 7.00% due 4/1/2017 (Performing Arts Center)		AA/Aa2		1,825,000		1,825,000
City of Las Vegas GO, 7.00% due 4/1/2018 (Performing Arts Center)		AA/Aa2		2,095,000		2,219,338
City of Reno, 5.25% due 6/1/2018 (Washoe Medical Center; Insured: AGM)		AA/A2		1,000,000		1,045,470
Clark County School District GO, 5.00% due 6/15/2021 (Acquisition of Transportation & Technology Equipment)		AA-/A1		20,000,000		22,681,400
Clark County School District GO, 5.00% due 6/15/2021 (Acquisition of Transportation & Technology Equipment)		AA-/A1		21,405,000		24,274,768
Clark County School District GO, 5.00% due 6/15/2022 (Acquisition of Transportation & Technology Equipment)		AA-/A1		2,560,000		2,944,435
Clark County School District GO, 5.00% due 6/15/2022 (Acquisition of Transportation & Technology Equipment)		AA-/A1		27,150,000		31,227,115
Clark County School District GO, 5.00% due 6/15/2026 (Acquisition of Transportation & Technology Equipment)		AA-/A1		12,180,000		14,514,175
Las Vegas Clark County Library District GO, 5.00% due 1/1/2018		AA/Aa2		6,535,000		6,732,749
Las Vegas Clark County Library District GO, 5.00% due 1/1/2019		AA/Aa2		3,000,000		3,199,470
Las Vegas Convention and Visitors Authority, 5.00% due 7/1/2023		A+/A1		800,000		930,128
Las Vegas Convention and Visitors Authority, 5.00% due 7/1/2024		A+/A1		3,155,000		3,701,225

Semi-Annual Report    25

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Las Vegas Convention and Visitors Authority, 5.00% due 7/1/2025		A+/A1	$	1,250,000	$	1,476,538
Las Vegas Convention and Visitors Authority, 5.00% due 7/1/2026		A+/A1		1,000,000		1,188,030
Las Vegas Valley Water District GO, 5.00% due 6/1/2017		AA/Aa1		1,050,000		1,057,455
Las Vegas Valley Water District GO, 5.00% due 6/1/2019		AA/Aa1		1,000,000		1,083,000
Las Vegas Valley Water District GO, 5.00% due 6/1/2020		AA/Aa1		4,255,000		4,740,836
Las Vegas Valley Water District GO, 5.00% due 6/1/2020		AA/Aa1		5,080,000		5,660,034
Las Vegas Valley Water District GO, 5.00% due 6/1/2021		AA/Aa1		5,000,000		5,708,550
Las Vegas Valley Water District GO, 5.00% due 6/1/2023		AA/Aa1		15,995,000		18,832,513
Las Vegas Valley Water District GO, 5.00% due 6/1/2024		AA/Aa1		13,825,000		16,414,423
Las Vegas Valley Water District GO, 5.00% due 6/1/2025		AA/Aa1		7,505,000		8,986,187
Las Vegas Valley Water District GO, 5.00% due 12/1/2025		AA/Aa1		20,000,000		23,979,800
Las Vegas Valley Water District GO, 5.00% due 6/1/2026		AA/Aa1		18,630,000		22,197,459
Washoe County GO, 5.00% due 7/1/2021 (Reno-Sparks Convention & Visitors Authority)		AA/Aa2		1,700,000		1,944,817
Washoe County GO, 5.00% due 7/1/2022 (Reno-Sparks Convention & Visitors Authority)		AA/Aa2		2,500,000		2,831,900
NEW HAMPSHIRE — 0.17%
New Hampshire Health and Education Facilities Authority, 5.00% due 10/1/2017 (Southern New Hampshire Medical Center)		A-/NR		1,000,000		1,018,730
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2017 (Insured: Natl-Re)		AA/Aa3		3,130,000		3,175,448
New Hampshire Municipal Bond Bank, 5.25% due 8/15/2020		AA+/Aa2		1,000,000		1,120,230
New Hampshire Municipal Bond Bank, 5.25% due 8/15/2022		AA+/Aa2		2,770,000		3,233,919
New Hampshire Turnpike System, 5.00% due 2/1/2018		A+/A1		1,295,000		1,338,357
New Hampshire Turnpike System, 5.00% due 2/1/2020		A+/A1		1,000,000		1,098,660
New Hampshire Turnpike System, 5.00% due 2/1/2021		A+/A1		1,260,000		1,417,046
NEW JERSEY — 2.73%
Burlington County Bridge Commission, 5.00% due 12/1/2018 (County Governmental Loan Program)		AA/Aa2		1,000,000		1,065,500
City of Jersey City GO, 4.00% due 8/1/2020 (Qualified General Improvement; Insured: BAM) (State Aid Withholding)		AA/Aa3		2,650,000		2,869,659
City of Jersey City GO, 4.00% due 8/1/2021 (Qualified General Improvement; Insured: BAM) (State Aid Withholding)		AA/Aa3		2,805,000		3,077,225
City of Jersey City GO, 5.00% due 8/1/2022 (Qualified General Improvement; Insured: BAM) (State Aid Withholding)		AA/Aa3		2,530,000		2,914,762
City of Jersey City GO, 5.00% due 8/1/2023 (Qualified General Improvement; Insured: BAM) (State Aid Withholding)		AA/Aa3		2,455,000		2,854,281
Essex County Improvement Authority, 5.50% due 10/1/2024 (County Correctional Facilities & Gibraltar Facilities; Insured: Natl-Re)		NR/Aa2		5,000,000		6,105,050
Gloucester County Improvement Authority, 2.125% due 12/1/2029 put 12/1/2017 (Waste Management)		A-/NR		2,000,000		2,010,640
Hudson County Improvement Authority, 4.75% due 10/1/2017 (Hudson County Lease; Insured: AGM)		AA/Aa3		4,065,000		4,137,764
Hudson County Improvement Authority, 4.75% due 10/1/2018 (Hudson County Lease; Insured: AGM)		AA/Aa3		2,000,000		2,100,620
Hudson County Improvement Authority, 4.75% due 10/1/2019 (Hudson County Lease; Insured: AGM)		AA/Aa3		4,390,000		4,731,454
Hudson County Improvement Authority, 5.375% due 10/1/2020 (Hudson County Lease; Insured: AGM)		AA/Aa3		2,020,000		2,262,057
New Jersey EDA, 5.50% due 12/15/2019 (School Facilities Construction; Insured: AMBAC)		BBB+/Baa1		5,525,000		5,952,303
New Jersey EDA, 5.00% due 9/1/2020 (School Facilities Construction) (ETM)		NR/NR		365,000		408,636
New Jersey EDA, 5.00% due 9/1/2020 (School Facilities Construction)		BBB+/Baa1		135,000		143,385
New Jersey EDA, 5.00% due 6/15/2023 (School Facilities Construction)		BBB+/Baa1		2,000,000		2,120,840
New Jersey EDA, 5.75% due 9/1/2023 pre-refunded 3/1/2021 (School Facilities Construction)		NR/Baa1		4,955,000		5,751,120
New Jersey EDA, 5.75% due 9/1/2023 (School Facilities Construction)		BBB+/Baa1		550,000		595,348
New Jersey EDA, 5.00% due 6/15/2024 (School Facilities Construction)		BBB+/Baa1		4,250,000		4,479,627
New Jersey EDA, 5.00% due 11/1/2024 (New Jersey Transit Corporation)		BBB+/Baa1		8,000,000		8,427,440
New Jersey EDA, 5.00% due 3/1/2025 (School Facilities Construction)		BBB+/Baa1		4,575,000		4,776,757
New Jersey EDA, 5.00% due 3/1/2026 (School Facilities Construction)		BBB+/Baa1		11,150,000		11,553,630
New Jersey EDA, 5.00% due 11/1/2026 (New Jersey Transit Corporation)		BBB+/Baa1		8,000,000		8,358,960
New Jersey Health Care Facilities Financing Authority, 5.00% due 7/1/2023 (Virtua Health Issue)		AA-/NR		535,000		623,040
New Jersey Health Care Facilities Financing Authority, 5.00% due 7/1/2024 (Virtua Health Issue)		AA-/NR		1,000,000		1,166,530
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2017 (Student Loans)		AA/Aa2		1,910,000		1,955,916
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2018		AA/Aa2		3,000,000		3,160,740
New Jersey Higher Educational Assistance Authority, 5.25% due 12/1/2019		AA/Aa2		5,650,000		6,133,527
New Jersey Transit Corp., 5.00% due 9/15/2021 (Urban Public Transportation Capital Improvement)		A/A3		3,395,000		3,645,144
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2019 (State Transportation System Improvements)		BBB+/Baa1		1,000,000		1,050,710
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2020 (State Transportation System Improvements)		A+/Baa1		2,500,000		2,663,625
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2020 (State Transportation System Improvements)		BBB+/Baa1		1,000,000		1,060,550
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2021 (State Transportation System Improvements)		BBB+/Baa1		2,570,000		2,738,104
New Jersey Transportation Trust Fund Authority, 5.25% due 12/15/2022 (State Transportation System Improvements)		BBB+/Baa1		2,000,000		2,150,480
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2023 (State Transportation System Improvements)		A+/Baa1		4,500,000		4,653,855
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2023 (State Transportation System Improvements)		A+/Baa1		3,000,000		3,234,240
New Jersey Transportation Trust Fund Authority, 5.25% due 12/15/2023 (State Transportation System Improvements; Insured: AMBAC)		BBB+/Baa1		3,545,000		3,860,824
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2024 (State Transportation System Improvements)		BBB+/Baa1		1,660,000		1,752,960
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2024 (State Transportation System Improvements)		A+/Baa1		5,500,000		5,668,080
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2024 (State Transportation System Improvements)		A+/Baa1		3,000,000		3,237,720

26    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2025 (State Transportation System Improvements)		A+/Baa1	$	500,000	$	538,445
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2027 (State Transportation System Improvements)		A+/Baa1		30,285,000		32,434,326
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2028 (Federal Highway)		A+/Baa1		7,330,000		7,506,360
New Jersey Transportation Trust Fund Authority, 1.99% due 6/15/2034 put 12/15/2021 (State Transportation System Improvements)		BBB+/Baa1		4,000,000		3,889,520
Ocean Township Municipal Utility Authority, 6.00% due 8/1/2017 (Insured: Natl-Re)		AA-/A3		780,000		792,628
Passaic Valley Sewer Commissioners GO, 5.625% due 12/1/2018 (Sewer System)		NR/A3		1,210,000		1,288,856
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2019 (Sewer System)		NR/A3		2,000,000		2,197,020
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2020 (Sewer System)		NR/A3		4,250,000		4,777,722
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2021 (Sewer System)		NR/A3		4,500,000		5,148,000
Township of Wayne GO, 2.00% due 2/15/2018 (General Improvements and Water Utility System)		AA+/Aaa		1,295,000		1,308,390
NEW MEXICO — 0.57%
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2019 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding)		AA/Aa1		2,300,000		2,505,298
City of Farmington, 1.875% due 6/1/2032 put 9/1/2017 (El Paso Electric Co.-Four Corners Project)		NR/Baa1		3,000,000		3,001,410
City of Santa Fe, 4.50% due 5/15/2022 (El Castillo Retirement Residences)		BBB-/NR		2,585,000		2,693,467
Incorporated County of Los Alamos, 5.50% due 6/1/2017		AA+/A1		2,365,000		2,383,423
Incorporated County of Los Alamos, 5.50% due 6/1/2018		AA+/A1		2,205,000		2,319,373
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2017 (Student Loans)		NR/Aaa		6,000,000		6,078,960
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2018 (Student Loans)		AAA/Aaa		5,000,000		5,324,950
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2021 (Student Loans)		AAA/Aaa		3,000,000		3,352,260
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2024 (Presbyterian Healthcare Services)		AA/Aa3		1,030,000		1,217,409
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2025 (Presbyterian Healthcare Services)		AA/Aa3		750,000		894,075
Regents of New Mexico State University, 5.00% due 4/1/2020 (Corbett Center Student Union & NMSU Golf Course)		AA-/Aa3		3,095,000		3,430,869
Regents of New Mexico State University, 5.00% due 4/1/2021 (Corbett Center Student Union & NMSU Golf Course)		AA-/Aa3		1,845,000		2,095,569
Regents of New Mexico State University, 5.00% due 4/1/2022 (Corbett Center Student Union & NMSU Golf Course)		AA-/Aa3		1,250,000		1,446,788
Rio Rancho Public School District No. 94 GO, 4.00% due 8/1/2018 (State Aid Withholding)		NR/Aa2		3,940,000		4,092,636
NEW YORK — 12.68%
City of Long Beach School District GO, 3.50% due 5/1/2022 (Insured: AGM) (State Aid Withholding)		AA/Aa2		1,600,000		1,683,696
City of New York GO, 5.00% due 8/1/2021 (City Budget Financial Management)		AA/Aa2		7,350,000		8,402,961
City of New York GO, 5.00% due 8/1/2021 (City Budget Financial Management)		AA/Aa2		7,775,000		8,888,846
City of New York GO, 5.00% due 8/1/2021 (City Budget Financial Management)		AA/Aa2		3,000,000		3,429,780
City of New York GO, 5.00% due 8/1/2021 (City Budget Financial Management)		AA/Aa2		9,000,000		10,289,340
City of New York GO, 5.00% due 8/1/2022 (City Budget Financial Management)		AA/Aa2		20,000,000		23,243,200
City of New York GO, 5.00% due 8/1/2022 (City Budget Financial Management)		AA/Aa2		13,075,000		15,195,242
City of New York GO, 5.00% due 8/1/2022 (City Budget Financial Management)		AA/Aa2		3,000,000		3,486,480
City of New York GO, 5.00% due 8/1/2022 (City Budget Financial Management)		AA/Aa2		6,625,000		7,699,310
a City of New York GO, 5.00% due 8/1/2023 (City Budget Financial Management)		AA/Aa2		12,985,000		15,281,397
City of New York GO, 5.00% due 8/1/2023 (City Budget Financial Management)		AA/Aa2		9,520,000		11,203,612
City of New York GO, 5.00% due 8/1/2024 (City Budget Financial Management)		AA/Aa2		40,145,000		47,777,769
City of New York GO, 0.91% due 8/1/2035 put 4/3/2017 (Capital Projects) (daily demand notes)		AA/Aa2		9,590,000		9,590,000
City of New York GO, 0.95% due 8/1/2038 put 4/3/2017 (City Budget Financial Management; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)		AA/Aa2		5,800,000		5,800,000
City of New York GO, 0.95% due 3/1/2040 put 4/3/2017 (Capital Projects) (daily demand notes)		AA/Aa2		11,100,000		11,100,000
Erie County Individual Development Agency, 5.00% due 5/1/2017 (Buffalo School District)		AA/Aa2		7,265,000		7,291,154
Erie County Individual Development Agency, 5.00% due 5/1/2018 (Buffalo School District)		AA/Aa2		5,000,000		5,221,800
Metropolitan Transportation Authority, 5.00% due 11/15/2020		AA-/A1		12,955,000		14,591,605
Metropolitan Transportation Authority, 5.00% due 11/15/2020		AA/NR		2,000,000		2,257,200
Metropolitan Transportation Authority, 5.00% due 11/15/2021		AA-/A1		24,325,000		27,942,857
Metropolitan Transportation Authority, 5.00% due 11/15/2025		AA-/A1		10,480,000		12,520,875
Metropolitan Transportation Authority, 5.00% due 11/15/2026		AA-/A1		21,400,000		25,709,318
Metropolitan Transportation Authority, 5.00% due 11/15/2027		AA-/A1		12,640,000		15,173,309
Metropolitan Transportation Authority, 5.00% due 11/15/2034		AA-/A1		550,000		601,513
Monroe County Industrial Development Corp., 5.00% due 6/1/2018 (St. John Fisher College)		A-/NR		1,425,000		1,483,112
Monroe County Industrial Development Corp., 5.00% due 6/1/2019 (St. John Fisher College)		A-/NR		1,030,000		1,101,863
Monroe County Industrial Development Corp., 5.00% due 6/1/2022 (St. John Fisher College)		A-/NR		2,000,000		2,246,480
Nassau County IDA, 5.25% due 3/1/2018 (New York Institute of Technology) (ETM)		BBB+/Baa2		1,260,000		1,309,846
Nassau County IDA, 5.25% due 3/1/2020 (New York Institute of Technology) (ETM)		BBB+/Baa2		1,715,000		1,909,481
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2019 (Healthcare Facilities Improvements)		A+/Aa3		2,700,000		2,889,621
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2020 (Healthcare Facilities Improvements)		A+/Aa3		10,000,000		11,049,400
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2021 (Healthcare Facilities Improvements)		A+/Aa3		2,615,000		2,885,496
New York City Municipal Water Finance Authority, 0.90% due 6/15/2035 put 4/3/2017 (Water & Sewer System; LOC: Citibank, N.A.) (daily demand notes)		AAA/Aa1		53,605,000		53,605,000
New York City Municipal Water Finance Authority, 0.95% due 6/15/2043 put 4/3/2017 (Water and Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)		AA+/Aa1		24,500,000		24,500,000

Semi-Annual Report    27

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
New York City Municipal Water Finance Authority, 0.91% due 6/15/2044 put 4/3/2017 (Water & Sewer System; SPA: Mizuho Bank, Ltd.) (daily demand notes)	AAA/Aa1	$	19,795,000	$	19,795,000
New York City Municipal Water Finance Authority, 0.96% due 6/15/2048 put 4/3/2017 (Water & Sewer System; SPA: Mizuho Bank, Ltd.) (daily demand notes)	AA+/Aa1		12,975,000		12,975,000
New York City Municipal Water Finance Authority, 0.95% due 6/15/2050 put 4/3/2017 (Water & Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AA+/Aa1		12,900,000		12,900,000
New York City Municipal Water Finance Authority, 0.95% due 6/15/2050 put 3/1/2017 (Water and Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AA+/Aa1		76,550,000		76,550,000
New York City Transitional Finance Authority, 5.00% due 1/15/2018 (School Financing Act) (State Aid Withholding)	AA/Aa2		4,865,000		5,021,556
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs)	AAA/Aa1		1,500,000		1,594,410
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs)	AAA/Aa1		11,730,000		12,468,286
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs)	AAA/Aa1		3,075,000		3,268,541
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs)	AAA/Aa1		1,645,000		1,748,536
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs)	AAA/Aa1		12,725,000		13,525,911
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs)	AAA/Aa1		2,000,000		2,125,880
New York City Transitional Finance Authority, 0.96% due 11/1/2022 put 4/3/2017 (WTC Recovery; SPA: Landesbank Hessen-Thuringen) (daily demand notes)	AAA/Aa1		525,000		525,000
New York City Transitional Finance Authority, 0.96% due 8/1/2031 put 4/3/2017 (City Capital Projects; SPA: Landesbank Hessen-Thuringen) (daily demand notes)	AAA/Aaa		3,000,000		3,000,000
New York City Transitional Finance Authority, 0.95% due 11/1/2036 put 4/3/2017 (City Capital Projects; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AAA/Aa1		7,450,000		7,450,000
New York City Transitional Finance Authority, 0.90% due 8/1/2039 put 4/3/2017 (City Capital Projects; SPA: State Street Bank & Trust Co.) (daily demand notes)	AAA/Aa1		40,320,000		40,320,000
New York City Transitional Finance Authority, 0.91% due 11/1/2042 put 4/3/2017 (City Capital Projects; SPA: Barclays Bank plc) (daily demand notes)	AAA/Aa1		16,800,000		16,800,000
New York City Transitional Finance Authority, 0.95% due 2/1/2045 put 4/3/2017 (City Capital Projects; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AAA/Aa1		39,510,000		39,510,000
New York City Trust for Cultural Resources, 5.00% due 12/1/2026 (Lincoln Center for the Performing Arts, Inc.)	A+/A2		2,500,000		2,976,075
New York State Dormitory Authority, 5.25% due 5/15/2017 (Court Facilities Lease; Insured: AMBAC)	AA-/Aa2		4,945,000		4,972,099
New York State Dormitory Authority, 5.50% due 2/15/2018 (Mental Health Services Facilities)	AA/NR		5,280,000		5,491,886
New York State Dormitory Authority, 2.25% due 4/1/2018 (School Districts Financing Program) (State Aid Withholding)	AA+/NR		4,800,000		4,862,688
New York State Dormitory Authority, 5.00% due 4/1/2018 (School Districts Financing Program) (State Aid Withholding)	AA+/NR		325,000		338,221
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program) (State Aid Withholding)	NR/Aa3		1,395,000		1,478,184
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program) (State Aid Withholding)	AA-/NR		2,520,000		2,670,671
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program; Insured: AGM) (State Aid Withholding)	AA/A2		2,500,000		2,649,475
New York State Dormitory Authority, 5.00% due 4/1/2019 (School Districts Financing Program) (State Aid Withholding)	AA+/NR		610,000		656,811
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program) (State Aid Withholding)	NR/Aa3		1,585,000		1,732,484
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program) (State Aid Withholding)	AA-/NR		2,645,000		2,891,117
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program; Insured: AGM) (State Aid Withholding)	AA/A2		2,100,000		2,295,405
New York State Dormitory Authority, 5.00% due 12/15/2019 (Metropolitan Transportation Authority Service Contract)	AAA/Aa1		60,000,000		66,081,000
New York State Dormitory Authority, 5.00% due 4/1/2020 (School Districts Financing Program) (State Aid Withholding)	AA+/NR		1,000,000		1,107,740
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc. Developmental Disability Programs)	NR/Aa2		1,000,000		1,110,260
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program; Insured: AGM)	AA/NR		1,250,000		1,403,175
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program) (State Aid Withholding)	NR/Aa3		1,000,000		1,122,540
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program) (State Aid Withholding)	AA-/NR		2,775,000		3,113,023
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program; Insured: AGM) (State Aid Withholding)	AA/A2		2,100,000		2,357,334
New York State Dormitory Authority, 5.00% due 4/1/2021 (School Districts Financing Program) (State Aid Withholding)	AA+/NR		450,000		510,462
New York State Dormitory Authority, 5.00% due 10/1/2021 (School Districts Financing Program; Insured: AGM)	AA/NR		1,100,000		1,263,031
New York State Dormitory Authority, 5.00% due 10/1/2021 (School Districts Financing Program) (State Aid Withholding)	NR/Aa3		750,000		857,475
New York State Dormitory Authority, 5.00% due 10/1/2021 (School Districts Financing Program; Insured: AGM) (State Aid Withholding)	AA/A2		1,250,000		1,435,263
New York State Dormitory Authority, 5.00% due 10/1/2022 (School Districts Financing Program; Insured: AGM)	AA/NR		1,800,000		2,099,574
New York State Dormitory Authority, 5.00% due 10/1/2022 (School Districts Financing Program) (State Aid Withholding)	AA+/NR		300,000		349,374
New York State Dormitory Authority, 5.00% due 10/1/2023 (School Districts Financing Program; Insured: AGM)	AA/NR		2,500,000		2,957,525
New York State Dormitory Authority, 5.25% due 10/1/2023 (School Districts Financing Program; Insured: AGM) (State Aid Withholding)	AA/A1		2,000,000		2,307,960
New York State Dormitory Authority, 5.00% due 10/1/2024 (School Districts Financing Program; Insured: AGM)	AA/NR		2,000,000		2,392,860
New York State Dormitory Authority, 0.95% due 7/1/2033 put 4/3/2017 (University of Rochester; LOC: HSBC Bank USA, N.A.) (daily demand notes)	AAA/Aa1		5,565,000		5,565,000
New York State Housing Finance Agency, 0.96% due 11/1/2046 put 4/3/2017 (160 Madison Avenue Housing Development; LOC: PNC Bank, N.A.) (daily demand notes)	NR/A1		5,995,000		5,995,000
New York State Housing Finance Agency, 0.96% due 11/1/2046 put 4/3/2017 (160 Madison Avenue Housing Development; LOC: PNC Bank, N.A.) (daily demand notes)	NR/A1		25,630,000		25,630,000

28    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
New York State Thruway Authority, 5.00% due 5/1/2019 (New NY Bridge)		A-/A3	$	5,000,000	$	5,390,800
New York State Thruway Authority, 5.00% due 1/1/2020 (Governor Thomas E. Dewey Thruway)		A/A2		2,000,000		2,194,660
New York State Thruway Authority, 5.00% due 1/1/2021 (Governor Thomas E. Dewey Thruway)		A/A2		2,500,000		2,807,150
New York State Thruway Authority, 5.00% due 1/1/2022 (Governor Thomas E. Dewey Thruway)		A/A2		3,000,000		3,429,210
New York State Thruway Authority, 5.00% due 1/1/2024 (Governor Thomas E. Dewey Thruway)		A/A2		1,000,000		1,176,080
New York State Thruway Authority, 5.00% due 3/15/2024 (Highway, Bridge, Multi-Modal and MTA Projects)		AAA/Aa1		18,300,000		20,761,167
New York State Thruway Authority, 5.00% due 1/1/2025 (Governor Thomas E. Dewey Thruway)		A/A2		2,000,000		2,376,560
Suffolk County Economic Development Corp., 5.00% due 7/1/2020 (Catholic Health Services)		A-/Baa1		5,000,000		5,512,750
Suffolk County Economic Development Corp., 5.00% due 7/1/2021 (Catholic Health Services)		A-/Baa1		5,000,000		5,614,600
Suffolk County Economic Development Corp., 5.00% due 7/1/2022 (Catholic Health Services)		A-/Baa1		5,000,000		5,557,450
The Port Authority of New York and New Jersey GO, 5.00% due 8/15/2017 (Insured: AGM)		AA/Aa3		4,725,000		4,799,371
Tobacco Settlement Financing Corp., 5.00% due 6/1/2018		AA/NR		3,725,000		3,899,255
Triborough Bridge & Tunnel Authority, 4.00% due 11/15/2017 (MTA Bridges & Tunnels)		AA-/Aa3		750,000		765,098
Triborough Bridge & Tunnel Authority, 5.00% due 11/15/2021 (MTA Bridges & Tunnels)		AA-/Aa3		5,140,000		5,951,606
United Nations Development Corp., 5.00% due 7/1/2017 (One, Two and Three U.N. Plaza)		NR/A1		3,000,000		3,031,140
United Nations Development Corp., 5.00% due 7/1/2019 (One, Two and Three U.N. Plaza)		NR/A1		4,000,000		4,330,760
West Seneca Central School District GO, 5.00% due 11/15/2022 (Insured: BAM) (State Aid Withholding)		AA/A2		1,000,000		1,163,320
NORTH CAROLINA — 1.97%
Charlotte-Mecklenburg Hospital Authority, 4.00% due 1/15/2019 (Carolinas HealthCare System)		AA-/Aa3		600,000		630,132
Charlotte-Mecklenburg Hospital Authority, 3.00% due 1/15/2021 (Carolinas HealthCare System)		AA-/Aa3		1,595,000		1,678,833
Charlotte-Mecklenburg Hospital Authority, 4.00% due 1/15/2022 (Carolinas HealthCare System)		AA-/Aa3		845,000		929,272
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2023 (Carolinas HealthCare System)		AA-/Aa3		1,400,000		1,622,278
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2024 (Carolinas HealthCare System)		AA-/Aa3		2,855,000		3,323,591
City of Charlotte COP, 5.00% due 12/1/2020 (Equipment Acquisition & Public Facilities)		AA+/Aa1		1,000,000		1,126,550
City of Charlotte COP, 5.00% due 12/1/2021 (Equipment Acquisition & Public Facilities)		AA+/Aa1		1,100,000		1,266,331
City of Charlotte COP, 5.00% due 12/1/2022 (Equipment Acquisition & Public Facilities)		AA+/Aa1		2,405,000		2,817,890
City of Charlotte COP, 5.00% due 12/1/2023 (Equipment Acquisition & Public Facilities)		AA+/Aa1		2,145,000		2,544,807
City of Charlotte COP, 5.00% due 12/1/2025 (Equipment Acquisition & Public Facilities)		AA+/Aa1		2,290,000		2,766,893
County of Buncombe, 5.00% due 6/1/2022 (Primary, Middle School & Community College Facilities)		AA+/Aa1		1,000,000		1,160,720
County of Buncombe, 5.00% due 6/1/2023 (Primary, Middle School & Community College Facilities)		AA+/Aa1		750,000		883,050
County of Buncombe, 5.00% due 6/1/2024 (Primary, Middle School & Community College Facilities)		AA+/Aa1		600,000		713,256
County of Catawba, 4.00% due 10/1/2017		AA-/Aa2		1,000,000		1,015,580
County of Dare, 4.00% due 6/1/2017 (Educational Facility Capital Projects)		AA/Aa3		400,000		402,120
a County of Dare, 4.00% due 6/1/2018 (Educational Facility Capital Projects)		AA/Aa3		425,000		439,671
County of Dare, 4.00% due 6/1/2019 (Educational Facility Capital Projects)		AA/Aa3		500,000		529,495
County of Dare, 4.00% due 6/1/2020 (Educational Facility Capital Projects)		AA/Aa3		765,000		824,242
County of Dare, 5.00% due 6/1/2021 (Educational Facility Capital Projects)		AA/Aa3		1,225,000		1,389,113
County of Dare, 4.00% due 6/1/2022 (Educational Facility Capital Projects)		AA/Aa3		490,000		539,627
a County of Dare, 5.00% due 6/1/2024 (Educational Facility Capital Projects)		AA/Aa3		700,000		809,368
County of Mecklenburg GO, 5.00% due 12/1/2018 (County Debt Restructuring)		AAA/Aaa		3,015,000		3,215,075
County of Randolph, 5.00% due 10/1/2020		A+/Aa3		500,000		556,735
County of Randolph, 5.00% due 10/1/2021		A+/Aa3		1,065,000		1,210,181
County of Randolph, 5.00% due 10/1/2021		A+/Aa3		500,000		568,160
County of Randolph, 5.00% due 10/1/2022		A+/Aa3		1,945,000		2,239,259
County of Randolph, 5.00% due 10/1/2023		A+/Aa3		550,000		640,805
County of Randolph, 5.00% due 10/1/2023		A+/Aa3		400,000		466,040
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: AMBAC) (ETM)		NR/NR		7,500,000		7,788,600
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: BHAC/AMBAC) (ETM)		AA+/Aa1		5,965,000		6,189,463
North Carolina Eastern Municipal Power Agency, 5.25% due 1/1/2019 pre-refunded 1/1/2018 (Insured: AGM)		AA/A3		3,105,000		3,206,627
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2021 (ETM)		NR/NR		5,000,000		5,647,400
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2022 (ETM)		NR/NR		4,715,000		5,440,638
North Carolina Medical Care Commission, 5.00% due 6/1/2020 (Duke University Health System)		AA/Aa2		2,000,000		2,225,720
North Carolina Medical Care Commission, 5.00% due 6/1/2021 (Duke University Health System)		AA/Aa2		2,000,000		2,280,080
North Carolina Medical Care Commission, 5.00% due 6/1/2022 (Duke University Health System)		AA/Aa2		1,800,000		2,086,560
North Carolina Medical Care Commission, 5.00% due 6/1/2023 (Duke University Health System)		AA/Aa2		1,425,000		1,671,995
North Carolina Medical Care Commission, 5.00% due 6/1/2024 (Duke University Health System)		AA/Aa2		2,300,000		2,727,432
North Carolina Medical Care Commission, 5.00% due 6/1/2025 (Duke University Health System)		AA/Aa2		4,000,000		4,792,760
North Carolina Medical Care Commission, 5.00% due 6/1/2026 (Duke University Health System)		AA/Aa2		1,600,000		1,935,568
North Carolina Municipal Power Agency, 4.00% due 1/1/2018 (Catawba Electric) (ETM)		NR/NR		3,250,000		3,325,855
North Carolina Municipal Power Agency, 4.00% due 1/1/2018 (Catawba Electric)		A/A2		11,750,000		12,014,375
North Carolina Municipal Power Agency, 5.00% due 1/1/2019 (Catawba Electric) (ETM)		NR/NR		1,220,000		1,303,765
North Carolina Municipal Power Agency, 5.00% due 1/1/2019 (Catawba Electric)		A/A2		3,280,000		3,496,906
North Carolina Municipal Power Agency, 4.00% due 1/1/2020 (Catawba Electric) (ETM)		NR/NR		945,000		1,013,957
North Carolina Municipal Power Agency, 4.00% due 1/1/2020 (Catawba Electric)		A/A2		605,000		646,939
North Carolina Municipal Power Agency, 5.00% due 1/1/2020 (Catawba Electric) (ETM)		NR/NR		280,000		308,454
North Carolina Municipal Power Agency, 5.00% due 1/1/2020 (Catawba Electric)		A/A2		720,000		789,264

Semi-Annual Report    29

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
North Carolina Municipal Power Agency, 4.00% due 1/1/2022 (Catawba Electric)		A/A2	$	1,000,000	$	1,096,840
State of North Carolina, 5.00% due 11/1/2019 (State Capital Projects and Correctional Facilities)		AA+/Aa1		23,635,000		25,948,394
State of North Carolina GO, 5.00% due 6/1/2017 (Various Capital Improvements)		AAA/Aaa		6,070,000		6,113,583
Winston-Salem State University, 4.00% due 4/1/2017 (Student Housing and Student Services Facilities)		A-/A3		645,000		645,000
Winston-Salem State University, 5.00% due 4/1/2019 (Student Housing and Student Services Facilities)		A-/A3		815,000		869,662
Winston-Salem State University, 5.00% due 4/1/2022 (Student Housing and Student Services Facilities)		A-/A3		945,000		1,065,714
NORTH DAKOTA — 0.06%
County of Ward, 4.00% due 4/1/2020 (Insured: AGM)		AA/A2		2,445,000		2,613,998
North Dakota Public Finance Authority, 4.00% due 6/1/2017 (City of Fargo Flood Mitigation Projects)		A+/NR		1,460,000		1,467,738
OHIO — 3.50%
Akron, Bath & Copley Joint Township Hospital District, 5.00% due 11/15/2021 (Children’s Hospital Medical Center)		NR/A1		1,000,000		1,138,680
American Municipal Power, Inc., 5.25% due 2/15/2018 (AMP Combined Hydroelectric Projects)		A/A2		5,500,000		5,702,290
American Municipal Power, Inc., 5.25% due 2/15/2019 (AMP Combined Hydroelectric Projects)		A/A2		5,595,000		6,013,450
American Municipal Power, Inc., 5.00% due 2/15/2020 (AMP Fremont Energy Center)		A/A1		1,865,000		2,051,127
American Municipal Power, Inc., 5.00% due 2/15/2021 (AMP Fremont Energy Center)		A/A1		1,300,000		1,464,385
American Municipal Power, Inc., 5.00% due 2/15/2022 (AMP Fremont Energy Center)		A/A1		2,750,000		3,150,400
Cincinnati City School District Board of Education GO, 5.25% due 12/1/2023 (Educational Facilities; Insured: Natl-Re)		AA-/Aa2		2,690,000		3,212,936
City of Akron, 5.00% due 12/1/2021 (Community Learning Centers)		AA+/NR		4,120,000		4,721,026
City of Akron GO, 5.00% due 12/1/2019 (Various Municipal Capital Projects)		AA-/NR		1,685,000		1,847,838
City of Cleveland, 4.00% due 10/1/2018 (Parks & Recreation Facilities)		AA/A1		500,000		521,700
City of Cleveland, 5.00% due 5/15/2019 (Police & Fire Pension Payment)		AA/A1		1,750,000		1,881,758
City of Cleveland, 4.00% due 10/1/2019 (Public Facilities)		AA/A1		600,000		637,200
City of Cleveland, 4.00% due 10/1/2019 (Parks & Recreation Facilities)		AA/A1		520,000		552,240
City of Cleveland, 5.00% due 5/15/2020 (Police & Fire Pension Payment)		AA/A1		1,605,000		1,768,999
City of Cleveland, 5.00% due 10/1/2020 (Public Facilities)		AA/A1		510,000		567,130
City of Cleveland, 5.00% due 10/1/2020 (Parks & Recreation Facilities)		AA/A1		545,000		606,051
City of Cleveland, 5.00% due 5/15/2021 (Police & Fire Pension Payment)		AA/A1		750,000		845,670
City of Cleveland, 5.00% due 10/1/2021 (Parks & Recreation Facilities)		AA/A1		570,000		647,178
City of Cleveland, 5.00% due 10/1/2022 (Public Facilities)		AA/A1		905,000		1,038,370
City of Cleveland, 5.00% due 10/1/2022 (Parks & Recreation Facilities)		AA/A1		600,000		688,422
City of Cleveland, 5.00% due 11/15/2022 (Parks & Recreation Facilities)		AA/A1		1,030,000		1,183,635
City of Cleveland, 5.00% due 10/1/2023 (Public Facilities)		AA/A1		1,155,000		1,338,125
City of Cleveland, 5.00% due 10/1/2023 (Parks & Recreation Facilities)		AA/A1		630,000		729,887
City of Cleveland COP, 4.75% due 11/15/2020 (Cleveland Stadium)		A/A3		2,000,000		2,178,960
City of Cleveland GO, 2.00% due 12/1/2018 (City Capital Projects)		AA/A1		700,000		711,011
City of Cleveland GO, 5.50% due 10/1/2019 (City Capital Projects; Insured: AMBAC)		AA/A1		1,260,000		1,392,048
City of Cleveland GO, 3.00% due 12/1/2020 (Municipal Street System Improvements)		AA/A1		675,000		711,389
City of Cleveland GO, 3.00% due 12/1/2021 (Municipal Street System Improvements)		AA/A1		2,305,000		2,432,282
City of Cleveland GO, 4.00% due 12/1/2022 (Municipal Street System Improvements)		AA/A1		3,330,000		3,709,753
City of Cleveland GO, 4.00% due 12/1/2023 (Municipal Street System Improvements)		AA/A1		3,395,000		3,805,659
City of Cleveland GO, 5.00% due 12/1/2024 (Municipal Street System Improvements)		AA/A1		3,730,000		4,442,915
City of Cleveland GO, 5.00% due 12/1/2025 (Municipal Street System Improvements)		AA/A1		3,555,000		4,246,056
City of Cleveland GO, 5.00% due 12/1/2026 (Municipal Street System Improvements)		AA/A1		3,610,000		4,271,099
City of Toledo, 5.00% due 11/15/2018 (Water System Improvements)		AA-/Aa3		1,175,000		1,250,682
City of Toledo, 5.00% due 11/15/2019 (Water System Improvements)		AA-/Aa3		2,260,000		2,483,469
City of Toledo, 5.00% due 11/15/2020 (Water System Improvements)		AA-/Aa3		2,000,000		2,255,300
City of Toledo, 5.00% due 11/15/2021 (Water System Improvements)		AA-/Aa3		2,000,000		2,306,360
City of Toledo, 5.00% due 11/15/2022 (Water System Improvements)		AA-/Aa3		3,255,000		3,822,151
City of Toledo, 5.00% due 11/15/2023 (Water System Improvements)		AA-/Aa3		1,750,000		2,056,180
Cleveland Package Facilities, 5.25% due 9/15/2021 (Insured: AGM) (ETM)		AA/A2		965,000		1,120,249
Cleveland Package Facilities, 5.25% due 9/15/2021 (Insured: AGM)		AA/A2		2,035,000		2,293,201
Cleveland State University, 5.00% due 6/1/2019 (Campus Capital Projects)		A+/A1		1,000,000		1,079,630
Cleveland State University, 5.00% due 6/1/2020 (Campus Capital Projects)		A+/A1		700,000		775,782
Cleveland State University, 5.00% due 6/1/2021 (Campus Capital Projects)		A+/A1		1,000,000		1,133,110
Cleveland State University, 5.00% due 6/1/2022 (Campus Capital Projects)		A+/A1		2,000,000		2,291,340
Cleveland-Cuyahoga County Port Authority, 5.00% due 10/1/2019 (Cleveland Museum of Art)		AA+/NR		2,000,000		2,177,560
County of Clermont, 4.00% due 8/1/2019 (Sanitary Sewer System)		NR/Aa3		1,420,000		1,471,489
County of Cuyahoga COP, 5.00% due 12/1/2019 (Convention Hotel Project)		AA-/Aa3		2,585,000		2,820,442
County of Cuyahoga COP, 5.00% due 12/1/2022 (Convention Hotel Project)		AA-/Aa3		9,725,000		11,230,527
County of Cuyahoga COP, 5.00% due 12/1/2023 (Convention Hotel Project)		AA-/Aa3		5,645,000		6,597,650
County of Cuyahoga COP, 5.00% due 12/1/2024 (Convention Hotel Project)		AA-/Aa3		11,515,000		13,442,611
County of Hamilton, 5.00% due 12/1/2018		AA-/A1		1,900,000		2,024,184
County of Hamilton, 5.00% due 12/1/2019		AA-/A1		3,000,000		3,294,630
County of Hamilton, 5.00% due 12/1/2020		AA-/A1		1,200,000		1,350,336
County of Hamilton, 5.00% due 12/1/2022		AA-/A1		2,250,000		2,623,410

30    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
County of Hamilton, 5.00% due 12/1/2023		AA-/A1	$	2,200,000	$	2,599,652
County of Hamilton, 5.00% due 12/1/2024		AA-/A1		3,200,000		3,819,072
County of Hamilton, 5.00% due 12/1/2025		AA-/A1		3,400,000		4,084,420
County of Hamilton, 5.00% due 12/1/2026		AA-/A1		3,000,000		3,619,650
County of Montgomery, 0.90% due 11/15/2045 put 4/3/2017 (Premier Health Partners; LOC: Barclays Bank plc) (daily demand notes)		NR/Aa2		21,625,000		21,625,000
County of Montgomery, 0.90% due 11/15/2045 put 4/3/2017 (Premier Health Partners; LOC: Barclays Bank plc) (daily demand notes)		NR/Aa2		16,425,000		16,425,000
County of Scioto, 5.00% due 2/15/2022		NR/A2		1,110,000		1,263,913
County of Scioto, 5.00% due 2/15/2023		NR/A2		2,020,000		2,326,636
County of Scioto, 5.00% due 2/15/2024		NR/A2		1,640,000		1,909,206
County of Scioto, 5.00% due 2/15/2025		NR/A2		1,695,000		1,983,862
Deerfield Township, 5.00% due 12/1/2017		NR/A1		1,000,000		1,022,120
Franklin County Convention Facilities Authority, 5.00% due 12/1/2021 (Greater Columbus Convention Center)		AA/Aa1		1,000,000		1,145,390
Franklin County Convention Facilities Authority, 5.00% due 12/1/2022 (Greater Columbus Convention Center)		AA/Aa1		500,000		581,735
Franklin County Convention Facilities Authority, 5.00% due 12/1/2024 (Greater Columbus Convention Center)		AA/Aa1		1,000,000		1,181,100
Kent State University, 5.00% due 5/1/2020 pre-refunded 5/1/2019 (Insured: AGC)		AA/Aa3		915,000		989,481
Kent State University, 5.00% due 5/1/2020 (Insured: AGC)		AA/Aa3		85,000		91,571
Ohio State Building Authority, 5.00% due 10/1/2020		AA/Aa2		1,700,000		1,866,362
Penta Career Center COP, 4.00% due 4/1/2017 (School District Facilities)		NR/Aa3		1,550,000		1,550,000
RiverSouth Authority, 5.00% due 12/1/2019 (RiverSouth Area Redevelopment)		AA+/Aa2		2,500,000		2,730,450
State of Ohio, 4.00% due 12/15/2018 (Major New Street Infrastructure Project)		AA/Aa2		1,000,000		1,050,560
State of Ohio, 4.00% due 12/15/2019 (Major New Street Infrastructure Project)		AA/Aa2		1,000,000		1,075,050
State of Ohio, 5.00% due 10/1/2020 (Cultural and Sports Capital Facilities)		AA/Aa2		3,845,000		4,283,368
State of Ohio, 5.00% due 12/15/2020 (Major New Street Infrastructure Project)		AA/Aa2		1,000,000		1,127,560
State of Ohio, 5.00% due 12/15/2020 (Major New Street Infrastructure Project)		AA/Aa2		1,000,000		1,127,560
State of Ohio, 5.00% due 12/15/2021 (Major New Street Infrastructure Project)		AA/Aa2		2,500,000		2,880,025
State of Ohio, 5.00% due 12/15/2024 (Major New Street Infrastructure Project)		AA/Aa2		2,000,000		2,389,500
State of Ohio, 5.00% due 12/15/2025 (Major New Street Infrastructure Project)		AA/Aa2		3,000,000		3,618,390
State of Ohio, 5.00% due 12/15/2026 (Major New Street Infrastructure Project)		AA/Aa2		1,000,000		1,205,640
State of Ohio GO, 5.50% due 9/15/2019 (Common Schools Capital Facilities)		AA+/Aa1		4,150,000		4,588,697
University of Akron Ohio, 5.00% due 1/1/2018 (Insured: AGM)		AA/A1		3,415,000		3,518,850
Youngstown City School District GO, 4.00% due 12/1/2017 (Educational Facilities) (State Aid Withholding)		NR/Aa2		1,480,000		1,508,386
Youngstown City School District GO, 4.00% due 12/1/2018 (Educational Facilities) (State Aid Withholding)		NR/Aa2		1,545,000		1,615,236
Youngstown City School District GO, 4.00% due 12/1/2019 (Educational Facilities) (State Aid Withholding)		NR/Aa2		1,605,000		1,712,663
Youngstown City School District GO, 4.00% due 12/1/2020 (Educational Facilities) (State Aid Withholding)		NR/Aa2		1,670,000		1,808,209
Youngstown City School District GO, 4.00% due 12/1/2021 (Educational Facilities) (State Aid Withholding)		NR/Aa2		1,735,000		1,864,570
Youngstown City School District GO, 4.00% due 12/1/2022 (Educational Facilities) (State Aid Withholding)		NR/Aa2		1,805,000		1,926,747
Youngstown City School District GO, 4.00% due 12/1/2023 (Educational Facilities) (State Aid Withholding)		NR/Aa2		1,700,000		1,800,453
OKLAHOMA — 0.73%
Canadian County Educational Facilities Authority, 4.00% due 9/1/2019 (Mustang Public Schools)		A+/NR		1,410,000		1,491,822
Canadian County Educational Facilities Authority, 4.50% due 9/1/2020 (Mustang Public Schools)		A+/NR		2,690,000		2,927,688
Canadian County Educational Facilities Authority, 4.50% due 9/1/2021 (Mustang Public Schools)		A+/NR		2,290,000		2,527,358
Cleveland County Educational Facilities Authority, 5.00% due 6/1/2023 (Moore Public Schools)		A+/NR		5,355,000		6,219,083
Oklahoma Capitol Improvement Authority, 5.00% due 7/1/2023 (State Highway Capital Improvement)		AA-/NR		325,000		382,327
a Oklahoma Capitol Improvement Authority, 5.00% due 7/1/2024 (State Highway Capital Improvement)		AA-/NR		800,000		947,280
Oklahoma County Finance Authority, 5.00% due 9/1/2017 (Western Heights Public Schools)		A+/NR		4,075,000		4,139,181
Oklahoma County Finance Authority, 4.00% due 9/1/2018 (Western Heights Public Schools)		A+/NR		250,000		259,393
Oklahoma County Finance Authority, 5.00% due 9/1/2018 (Western Heights Public Schools)		A+/NR		2,120,000		2,228,290
Oklahoma County Finance Authority, 5.00% due 9/1/2020 (Western Heights Public Schools)		A+/NR		2,000,000		2,206,200
Oklahoma DFA, 5.00% due 8/15/2017 (INTEGRIS Health) (ETM)		AA-/NR		4,375,000		4,443,950
Oklahoma DFA, 5.00% due 8/15/2018 (INTEGRIS Health) (ETM)		AA-/NR		500,000		527,275
Oklahoma DFA, 5.00% due 8/15/2022 (INTEGRIS Health)		AA-/Aa3		1,000,000		1,154,650
Oklahoma DFA, 5.00% due 8/15/2023 (INTEGRIS Health)		AA-/Aa3		1,500,000		1,748,715
Oklahoma DFA, 5.00% due 8/15/2024 (INTEGRIS Health)		AA-/Aa3		1,225,000		1,442,205
Oklahoma DFA, 5.00% due 8/15/2025 (INTEGRIS Health)		AA-/Aa3		1,000,000		1,186,770
Oklahoma State Industrial Authority, 5.25% due 7/1/2017 (Medical Research Foundation) (ETM)		NR/A2		1,075,000		1,087,040
Tulsa County Industrial Authority, 5.50% due 9/1/2018 (Jenks Public Schools)		AA-/NR		4,210,000		4,472,072
Tulsa County Industrial Authority, 4.50% due 9/1/2020 (Broken Arrow Public Schools)		AA-/NR		1,585,000		1,734,989
Tulsa County Industrial Authority, 4.50% due 9/1/2021 (Broken Arrow Public Schools)		AA-/NR		8,775,000		9,753,851
Tulsa Parking Authority, 3.00% due 7/1/2017		AA-/NR		1,470,000		1,477,894
OREGON — 1.33%
Oregon Facilities Authority, 4.50% due 3/15/2018 (Legacy Health System)		AA-/A1		1,100,000		1,134,892
Polk County Dallas School District No. 2 GO, 0% due 6/15/2017 (Capital Improvements)		AA+/NR		2,270,000		2,265,823
Polk County Dallas School District No. 2 GO, 0% due 6/15/2019 (Capital Improvements)		AA+/NR		515,000		499,715

Semi-Annual Report    31

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Polk County Dallas School District No. 2 GO, 0% due 6/15/2021 (Capital Improvements)		AA+/NR	$	1,475,000	$	1,374,567
State of Oregon GO, 2.00% due 6/30/2017 (Cash Management)		SP-1+/Mig1		89,625,000		89,899,253
PENNSYLVANIA — 4.56%
Adams County IDA, 5.00% due 8/15/2017 (Gettysburg College)		A/A2		1,340,000		1,360,864
Adams County IDA, 5.00% due 8/15/2019 (Gettysburg College)		A/A2		1,765,000		1,917,161
Allegheny County Higher Education Building Authority, 5.00% due 3/1/2020 (Duquesne University of the Holy Spirit)		A/A2		250,000		273,903
Allegheny County Higher Education Building Authority, 5.00% due 3/1/2023 (Duquesne University of the Holy Spirit)		A/A2		300,000		344,901
Allegheny County Higher Education Building Authority, 5.00% due 3/1/2024 (Duquesne University of the Holy Spirit)		A/A2		500,000		581,645
Allegheny County Higher Education Building Authority, 5.00% due 3/1/2025 (Duquesne University of the Holy Spirit)		A/A2		1,145,000		1,342,581
Allegheny County Hospital Development Authority, 5.00% due 6/15/2017 (University of Pittsburgh Medical Center)		A+/Aa3		3,000,000		3,025,590
Allegheny County Hospital Development Authority, 5.00% due 9/1/2017 (University of Pittsburgh Medical Center)		A+/Aa3		1,875,000		1,906,500
Allegheny County Hospital Development Authority, 5.00% due 5/15/2018 (University of Pittsburgh Medical Center)		A+/Aa3		5,915,000		6,178,158
Allegheny County Hospital Development Authority, 5.00% due 6/15/2018 (University of Pittsburgh Medical Center)		A+/Aa3		3,310,000		3,467,655
Allegheny County Hospital Development Authority, 5.00% due 9/1/2018 (University of Pittsburgh Medical Center)		A+/Aa3		3,100,000		3,269,136
Allegheny County Sanitary Authority, 4.00% due 12/1/2018 (2015 Capital Project)		A/A1		650,000		680,979
Allegheny County Sanitary Authority, 5.00% due 12/1/2023 (2015 Capital Project)		A/A1		14,500,000		16,927,590
Allegheny County Sanitary Authority, 5.00% due 12/1/2024 (2015 Capital Project)		A/A1		4,650,000		5,484,675
Allegheny County Sanitary Authority, 5.00% due 12/1/2025 (2015 Capital Project; Insured: BAM)		AA/A1		1,000,000		1,190,960
Altoona Area School District GO, 3.00% due 12/1/2022 (Insured: AGM) (State Aid Withholding)		AA/NR		1,335,000		1,383,207
Athens Area School District GO, 3.00% due 4/15/2018 (Insured: AGM) (State Aid Withholding)		NR/A2		2,600,000		2,647,840
Athens Area School District GO, 3.00% due 4/15/2019 (Insured: AGM) (State Aid Withholding)		NR/A2		2,680,000		2,723,657
City of Philadelphia, 5.00% due 6/15/2017 (Water and Wastewater System; Insured: AGM)		AA/A1		5,570,000		5,617,902
City of Philadelphia, 5.00% due 10/1/2017 (Pennsylvania Gas Works)		A/Baa1		400,000		407,696
City of Philadelphia, 5.00% due 7/1/2018 (Pennsylvania Gas Works)		AA/A2		1,395,000		1,460,370
City of Philadelphia, 5.00% due 10/1/2020 (Pennsylvania Gas Works)		A/Baa1		1,500,000		1,658,070
City of Philadelphia, 5.00% due 8/1/2023 (Pennsylvania Gas Works)		A/Baa1		3,750,000		4,312,087
City of Philadelphia, 5.00% due 8/1/2024 (Pennsylvania Gas Works)		A/Baa1		4,000,000		4,614,920
City of Philadelphia, 5.00% due 10/1/2024 (Water and Wastewater System)		A+/A1		3,385,000		3,985,770
City of Philadelphia, 5.00% due 10/1/2024 (Pennsylvania Gas Works)		A/Baa1		1,000,000		1,155,940
City of Philadelphia, 5.00% due 8/1/2025 (Pennsylvania Gas Works)		A/Baa1		1,900,000		2,202,841
City of Philadelphia, 5.00% due 10/1/2025 (Water and Wastewater System)		A+/A1		4,430,000		5,260,315
City of Philadelphia, 5.00% due 10/1/2026 (Water and Wastewater System)		A+/A1		2,070,000		2,474,747
City of Philadelphia GO, 5.00% due 8/1/2025 (Insured: AGM)		AA/A2		7,965,000		9,244,657
City of Philadelphia GO, 5.00% due 8/1/2026 (Insured: AGM)		AA/A2		14,715,000		17,194,772
City of Philadelphia GO, 5.00% due 8/1/2027 (Insured: AGM)		AA/A2		6,005,000		7,070,467
City of Pittsburgh GO, 5.00% due 9/1/2022 (Insured: BAM)		AA/A1		1,100,000		1,265,935
Commonwealth of Pennsylvania GO, 5.00% due 8/15/2023 (Capital Facilities)		AA-/Aa3		19,125,000		22,278,904
Commonwealth of Pennsylvania GO, 5.00% due 8/15/2024 (Capital Facilities)		AA-/Aa3		15,500,000		18,161,040
Commonwealth of Pennsylvania GO, 5.00% due 8/15/2025 (Capital Facilities)		AA-/Aa3		14,825,000		17,402,771
Economy Borough Municipal Authority, 3.00% due 12/15/2018 (Beaver County Sewer System; Insured: BAM)		AA/NR		435,000		446,884
Economy Borough Municipal Authority, 4.00% due 12/15/2020 (Beaver County Sewer System; Insured: BAM)		AA/NR		605,000		651,706
Economy Borough Municipal Authority, 4.00% due 12/15/2022 (Beaver County Sewer System; Insured: BAM)		AA/NR		1,180,000		1,287,144
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.95% due 7/1/2041 put 4/3/2017 (The Children’s Hospital of Philadelphia; SPA: Wells Fargo Bank, N.A.) (daily demand notes)		AA/Aa2		8,100,000		8,100,000
Lancaster County Hospital Authority, 4.00% due 11/1/2017 (Masonic Villages Project)		A/NR		865,000		878,805
Lancaster County Hospital Authority, 5.00% due 11/1/2018 (Masonic Villages Project)		A/NR		1,105,000		1,164,792
Lancaster County Solid Waste Management Authority, 5.00% due 12/15/2023 (Harrisburg Resource Recovery Facility)		AA-/NR		2,680,000		3,079,776
Lancaster County Solid Waste Management Authority, 5.25% due 12/15/2024 (Harrisburg Resource Recovery Facility)		AA-/NR		4,770,000		5,567,258
Lehigh County IDA, 0.90% due 2/15/2027 put 8/15/2017 (PPL Electric Utilities Corp.)		A/A1		6,360,000		6,359,300
Lehigh County IDA, 0.90% due 9/1/2029 put 9/1/2017 (PPL Electric Utilities Corp.)		A/A1		17,250,000		17,228,610
Luzerne County GO, 5.00% due 11/15/2021 (Insured: AGM)		AA/NR		2,680,000		2,981,232
Luzerne County GO, 5.00% due 11/15/2022 (Insured: AGM)		AA/NR		2,560,000		2,869,965
Luzerne County GO, 5.00% due 11/15/2023 (Insured: AGM)		AA/NR		2,600,000		2,931,370
Luzerne County GO, 5.00% due 11/15/2024 (Insured: AGM)		AA/NR		4,000,000		4,530,800
Monroeville Finance Authority, 5.00% due 2/15/2021 (University of Pittsburgh Medical Center)		A+/Aa3		2,400,000		2,702,520
Monroeville Finance Authority, 5.00% due 2/15/2022 (University of Pittsburgh Medical Center)		A+/Aa3		1,250,000		1,431,450
Montgomery County Higher Education & Health Authority, 5.00% due 6/1/2022 (Abington Memorial Hospital)		A+/NR		3,000,000		3,442,440
Northampton Borough Municipal Authority, 4.00% due 5/15/2021 (Water System; Insured: AGM)		NR/A1		500,000		535,695
Northampton Borough Municipal Authority, 4.00% due 5/15/2022 (Water System; Insured: AGM)		NR/A1		1,185,000		1,274,728
Northampton Borough Municipal Authority, 3.00% due 5/15/2023 (Water System; Insured: AGM)		NR/A1		1,255,000		1,282,447
Norwin School District GO, 4.00% due 4/1/2018 (Insured: AGM) (State Aid Withholding)		AA/A1		1,835,000		1,885,646
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2019 (University of Pittsburgh Medical Center)		A+/Aa3		5,600,000		6,041,504
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2020 (University of Pittsburgh Medical Center)		A+/Aa3		5,100,000		5,649,525
Pennsylvania Higher Educational Facilities Authority, 4.00% due 10/1/2022 (Shippensburg University Student Services, Inc. Student Housing)		BBB-/Baa3		1,825,000		1,904,661
Pennsylvania Higher Educational Facilities Authority, 5.00% due 11/1/2023 (Saint Joseph’s University)		A-/NR		1,075,000		1,196,066

32    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Philadelphia Authority for Industrial Development, 5.00% due 8/1/2020 (Mast Charter School) (ETM)		BBB/NR	$	420,000	$	445,801
Philadelphia Parking Authority, 5.00% due 9/1/2017		A/A1		1,020,000		1,037,483
Philadelphia School District GO, 4.50% due 9/1/2017 (State Aid Withholding)		NR/A2		2,270,000		2,296,173
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding)		NR/A2		18,410,000		19,647,520
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding)		NR/A2		4,210,000		4,498,174
Philadelphia School District GO, 5.25% due 9/1/2021 (State Aid Withholding)		NR/A2		2,265,000		2,487,695
Pittsburgh Water and Sewer Authority, 5.00% due 9/1/2023		A/A2		2,520,000		2,932,927
Pittsburgh Water and Sewer Authority, 5.00% due 9/1/2024		A/A2		7,365,000		8,549,513
Pittsburgh Water and Sewer Authority, 5.00% due 9/1/2024		A/A2		2,395,000		2,780,188
Plum Borough School District GO, 3.00% due 9/15/2017 (Insured: BAM) (State Aid Withholding)		AA/NR		240,000		242,131
Plum Borough School District GO, 4.00% due 9/15/2018 (Insured: BAM) (State Aid Withholding)		AA/NR		740,000		769,267
Plum Borough School District GO, 4.00% due 9/15/2019 (Insured: BAM) (State Aid Withholding)		AA/NR		390,000		413,306
Plum Borough School District GO, 4.00% due 9/15/2019 (Insured: BAM) (State Aid Withholding)		AA/NR		395,000		418,605
Plum Borough School District GO, 4.00% due 9/15/2019 (Insured: BAM) (State Aid Withholding)		AA/NR		1,205,000		1,277,011
Plum Borough School District GO, 4.00% due 9/15/2020 (Insured: BAM) (State Aid Withholding)		AA/NR		1,455,000		1,567,690
Plum Borough School District GO, 4.00% due 9/15/2021 (Insured: BAM) (State Aid Withholding)		AA/NR		1,610,000		1,755,528
Plum Borough School District GO, 5.00% due 9/15/2022 (Insured: BAM) (State Aid Withholding)		AA/NR		1,410,000		1,609,557
Plum Borough School District GO, 5.00% due 9/15/2023 (Insured: BAM) (State Aid Withholding)		AA/NR		1,495,000		1,721,448
Plum Borough School District GO, 5.00% due 9/15/2023 (Insured: BAM) (State Aid Withholding)		AA/NR		470,000		541,191
Plum Borough School District GO, 5.00% due 9/15/2024 (Insured: BAM) (State Aid Withholding)		AA/NR		1,885,000		2,191,784
Wayne County Hospital and HFA, 2.00% due 7/1/2017 (Wayne Memorial Hospital; Insured: AGM)		AA/NR		1,000,000		1,002,710
Wayne County Hospital and HFA, 2.00% due 7/1/2018 (Wayne Memorial Hospital; Insured: AGM)		AA/NR		625,000		632,037
Wayne County Hospital and HFA, 3.00% due 7/1/2019 (Wayne Memorial Hospital; Insured: AGM)		AA/NR		1,185,000		1,210,774
RHODE ISLAND — 1.58%
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2018 (Public Drinking Water Supply or Treatment Facilities)		AAA/NR		870,000		921,078
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2019 (Public Drinking Water Supply or Treatment Facilities)		AAA/NR		1,250,000		1,366,475
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2020 (Public Drinking Water Supply or Treatment Facilities)		AAA/NR		1,300,000		1,459,770
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2021 (Public Drinking Water Supply or Treatment Facilities)		AAA/NR		2,000,000		2,296,900
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2022 (Public Drinking Water Supply or Treatment Facilities)		AAA/NR		2,280,000		2,663,998
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2023 (Public Drinking Water Supply or Treatment Facilities)		AAA/NR		2,380,000		2,818,753
Rhode Island Convention Center Authority, 5.00% due 5/15/2018 (Convention Center and Parking Projects)		AA-/A1		5,890,000		6,150,397
Rhode Island Convention Center Authority, 5.00% due 5/15/2019 (Convention Center and Parking Projects)		AA-/A1		7,310,000		7,852,402
Rhode Island Convention Center Authority, 5.00% due 5/15/2020 (Convention Center and Parking Projects)		AA-/A1		5,890,000		6,474,818
Rhode Island Health and Educational Building Corp., 5.00% due 9/15/2020 (University of Rhode Island)		A+/A1		355,000		394,288
Rhode Island Health and Educational Building Corp., 5.00% due 9/15/2020 (University of Rhode Island Auxiliary Enterprise)		A+/A1		750,000		833,002
Rhode Island Health and Educational Building Corp., 5.00% due 9/15/2022 (University of Rhode Island)		A+/A1		465,000		533,462
Rhode Island Health and Educational Building Corp., 5.00% due 9/15/2023 (University of Rhode Island Auxiliary Enterprise)		A+/A1		1,400,000		1,625,652
Rhode Island Health and Educational Building Corp., 5.00% due 9/15/2025 (University of Rhode Island)		A+/A1		500,000		591,905
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2019 (Kent County Courthouse)		AA-/Aa3		600,000		652,878
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2019 (Training School)		AA-/Aa3		1,575,000		1,713,805
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2020 (Kent County Courthouse)		AA-/Aa3		1,375,000		1,530,017
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2020 (Training School)		AA-/Aa3		1,405,000		1,563,400
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2021 (Kent County Courthouse)		AA-/Aa3		2,000,000		2,269,400
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2021 (Training School)		AA-/Aa3		3,540,000		4,016,838
State of Rhode Island and Providence Plantations COP, 5.00% due 4/1/2022 (Energy Conservation)		AA-/Aa3		2,020,000		2,297,992
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2022 (Kent County Courthouse)		AA-/Aa3		2,100,000		2,409,771
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2022 (Training School)		AA-/Aa3		3,620,000		4,153,986
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2023 (Kent County Courthouse)		AA-/Aa3		1,500,000		1,740,525
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2023 (Training School)		AA-/Aa3		1,705,000		1,978,397
State of Rhode Island and Providence Plantations COP, 5.00% due 11/1/2024 (Information Technology)		AA-/Aa3		3,010,000		3,515,800
State of Rhode Island and Providence Plantations GO, 5.00% due 10/1/2019 (Consolidated Capital Development Loan)		AA/Aa2		5,000,000		5,483,450
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2020 (Consolidated Capital Development Loan)		AA/Aa2		8,365,000		9,360,519
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2020 (Consolidated Capital Development Loan)		AA/Aa2		1,200,000		1,312,224
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2021 (Consolidated Capital Development Loan)		AA/Aa2		16,535,000		18,917,528
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2021 (Consolidated Capital Development Loan)		AA/Aa2		1,000,000		1,110,980
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2022 (Consolidated Capital Development Loan)		AA/Aa2		9,825,000		11,381,182
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2022 (Consolidated Capital Development Loan)		AA/Aa2		1,000,000		1,118,700
SOUTH CAROLINA — 0.79%
Beaufort-Jasper Water & Sewer Authority, 5.00% due 3/1/2019 (Waterworks & Sewer System)		AA/Aa1		1,000,000		1,074,430
Beaufort-Jasper Water & Sewer Authority, 5.00% due 3/1/2021 (Waterworks & Sewer System)		AA/Aa1		750,000		851,640
Beaufort-Jasper Water & Sewer Authority, 5.00% due 3/1/2022 (Waterworks & Sewer System)		AA/Aa1		1,000,000		1,158,020
Beaufort-Jasper Water & Sewer Authority, 5.00% due 3/1/2023 (Waterworks & Sewer System)		AA/Aa1		1,000,000		1,176,910
Beaufort-Jasper Water & Sewer Authority, 5.00% due 3/1/2024 (Waterworks & Sewer System)		AA/Aa1		1,000,000		1,189,930
Beaufort-Jasper Water & Sewer Authority, 5.00% due 3/1/2025 (Waterworks & Sewer System)		AA/Aa1		1,000,000		1,202,710
Berkeley County School District, 5.00% due 12/1/2020 (School Facility Equipment Acquisition)		AA-/NR		550,000		610,335

Semi-Annual Report    33

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Berkeley County School District, 5.00% due 12/1/2021 (School Facility Equipment Acquisition)		AA-/NR	$	1,000,000	$	1,128,550
Berkeley County School District, 5.00% due 12/1/2024 (School Facility Equipment Acquisition)		AA-/NR		2,000,000		2,313,540
Charleston County, 5.00% due 12/1/2022 (South Aviation Ave. Construction)		AA+/NR		1,810,000		2,120,741
Charleston County, 5.00% due 12/1/2023 (South Aviation Ave. Construction)		AA+/NR		2,460,000		2,918,519
City of Charleston Public Facilities Corp., 5.00% due 9/1/2019 (City of Charleston Project)		AA+/Aa1		390,000		424,928
City of Charleston Public Facilities Corp., 5.00% due 9/1/2020 (City of Charleston Project)		AA+/Aa1		700,000		780,451
City of Charleston Public Facilities Corp., 5.00% due 9/1/2021 (City of Charleston Project)		AA+/Aa1		460,000		523,535
City of Charleston Public Facilities Corp., 5.00% due 9/1/2022 (City of Charleston Project)		AA+/Aa1		425,000		491,632
City of Charleston Public Facilities Corp., 5.00% due 9/1/2023 (City of Charleston Project)		AA+/Aa1		345,000		404,157
City of Charleston Public Facilities Corp., 5.00% due 9/1/2025 (City of Charleston Project)		AA+/Aa1		930,000		1,105,724
City of North Charleston Public Facilities Corp. COP, 5.00% due 10/1/2017 (Convention Center Complex)		AA-/NR		710,000		724,562
Greenwood County, 5.00% due 10/1/2022 (Self Regional Healthcare)		A+/A1		1,000,000		1,142,970
Piedmont Municipal Power Agency, 6.75% due 1/1/2019 (Insured: Natl-Re)		NR/A3		3,800,000		4,148,916
SCAGO Educational Facilities Corp., 5.00% due 12/1/2021 (School District of Pickens County)		A/A1		1,810,000		2,061,101
SCAGO Educational Facilities Corp., 5.00% due 12/1/2022 (School District of Pickens County)		A/A1		500,000		576,275
SCAGO Educational Facilities Corp., 5.00% due 12/1/2023 (School District of Pickens County)		A/A1		1,000,000		1,163,330
SCAGO Educational Facilities Corp., 5.00% due 12/1/2024 (School District of Pickens County)		A/A1		1,010,000		1,184,417
SCAGO Educational Facilities Corp., 5.00% due 12/1/2025 (School District of Pickens County)		A/A1		1,000,000		1,170,580
York County Rock Hill School District No. 3 GO, 3.00% due 9/29/2017		SP-1+/Mig1		24,465,000		24,706,470
SOUTH DAKOTA — 0.31%
South Dakota Building Authority, 5.00% due 6/1/2022		AA+/Aa1		500,000		578,575
South Dakota Building Authority, 5.00% due 6/1/2024		AA+/Aa1		1,000,000		1,165,000
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2017 (Prairie Lakes Health)		A+/NR		2,215,000		2,215,000
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2017 (Regional Health)		NR/A1		1,100,000		1,118,579
South Dakota Health & Educational Facilities Authority, 3.00% due 11/1/2017 (Sanford Health)		A+/A1		450,000		455,422
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2018 (Prairie Lakes Health)		A+/NR		2,290,000		2,358,975
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2018 (Regional Health)		NR/A1		1,275,000		1,343,633
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2018 (Regional Health)		NR/A1		1,000,000		1,053,250
South Dakota Health & Educational Facilities Authority, 4.00% due 11/1/2018 (Sanford Health)		A+/A1		800,000		835,744
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2019 (Prairie Lakes Health)		A+/NR		2,440,000		2,574,200
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2020 (Regional Health)		NR/A1		1,000,000		1,114,470
South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2021 (Avera Health)		AA-/A1		1,670,000		1,896,469
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2021 (Sanford Health)		A+/A1		350,000		399,931
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2022 (Sanford Health)		A+/A1		1,070,000		1,242,120
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2024 (Sanford Health)		A+/A1		400,000		475,664
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2025 (Sanford Health)		A+/A1		965,000		1,158,270
South Dakota Housing Development Authority, 4.00% due 11/1/2017 (Single Family Mtg)		NR/Aa2		1,055,000		1,074,022
South Dakota Housing Development Authority, 4.00% due 11/1/2018 (Single Family Mtg)		NR/Aa2		1,165,000		1,218,054
TENNESSEE — 0.93%
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2019		NR/Baa1		6,000,000		6,446,940
Metropolitan Government of Nashville and Davidson County GO, 5.00% due 1/1/2024		AA/Aa2		7,000,000		8,324,470
Metropolitan Government of Nashville and Davidson County GO, 5.00% due 1/1/2025		AA/Aa2		13,400,000		16,112,428
State of Tennessee GO, 4.00% due 8/1/2017		AAA/Aaa		3,250,000		3,285,555
State of Tennessee GO, 4.00% due 8/1/2018		AAA/Aaa		2,000,000		2,081,820
State of Tennessee GO, 5.00% due 8/1/2018		AAA/Aaa		2,000,000		2,110,460
State of Tennessee GO, 5.00% due 8/1/2019		AAA/Aaa		3,000,000		3,277,110
State of Tennessee GO, 5.00% due 8/1/2019		AAA/Aaa		2,000,000		2,184,740
State of Tennessee GO, 5.00% due 8/1/2020		AAA/Aaa		2,000,000		2,249,420
State of Tennessee GO, 5.00% due 8/1/2020		AAA/Aaa		2,000,000		2,249,420
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2017		BBB+/A3		11,000,000		11,176,550
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2018		BBB+/A3		5,000,000		5,261,050
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2020		BBB+/A3		1,190,000		1,320,841
TEXAS — 10.72%
Austin Community College Public Facilities Corp., 5.25% due 8/1/2017 (Round Rock Campus) (ETM)		AA/Aa2		1,500,000		1,522,395
Bexar County Hospital District GO, 5.00% due 2/15/2022 (University Health System)		AA+/Aa1		1,250,000		1,428,163
Bexar County Hospital District GO, 5.00% due 2/15/2023 (University Health System)		AA+/Aa1		1,250,000		1,446,462
Bexar County Hospital District GO, 5.00% due 2/15/2024 (University Health System)		AA+/Aa1		1,500,000		1,752,435
Bexar County Hospital District GO, 5.00% due 2/15/2025 (University Health System)		AA+/Aa1		2,355,000		2,771,011
Bexar County Hospital District GO, 5.00% due 2/15/2026 (University Health System)		AA+/Aa1		1,500,000		1,776,885
Bexar County Hospital District GO, 5.00% due 2/15/2027 (University Health System)		AA+/Aa1		1,500,000		1,769,400
Capital Area Cultural Education Facilities Finance Corp., 5.00% due 4/1/2018 (Roman Catholic Diocese of Austin)		NR/Baa1		1,370,000		1,413,470
Cities of Dallas and Fort Worth, 5.25% due 11/1/2023 (DFW International Airport Terminal Renewal & Improvement Program)		A+/A1		3,000,000		3,449,460
City of Austin, 5.00% due 11/15/2022 (Water and Wastewater System)		AA/Aa2		2,640,000		3,015,250
City of Austin, 5.00% due 11/15/2025 (Water and Wastewater System)		AA/Aa2		2,485,000		2,998,923

34    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
City of Austin, 5.00% due 11/15/2026 (Water and Wastewater System)	AA/Aa2		$	3,330,000	$	4,044,385
City of Beaumont, 5.00% due 9/1/2023 (Waterworks & Sewer System Improvements; Insured: AGM)	AA/A2			5,000,000		5,858,450
City of Beaumont, 5.00% due 9/1/2024 (Waterworks & Sewer System Improvements; Insured: AGM)	AA/A2			2,500,000		2,905,325
City of Beaumont GO, 5.00% due 3/1/2022	AA-/Aa2			1,000,000		1,147,830
City of Beaumont GO, 5.00% due 3/1/2023	AA-/Aa2			1,000,000		1,164,710
City of Beaumont GO, 5.00% due 3/1/2024	AA-/Aa2			1,500,000		1,763,730
City of Beaumont GO, 5.00% due 3/1/2025	AA-/Aa2			3,060,000		3,631,394
City of Beaumont GO, 5.00% due 3/1/2026	AA-/Aa2			1,930,000		2,304,459
City of Brownsville, 5.00% due 9/1/2020 (Water, Wastewater & Electric Utilities Systems)	A+/A2			1,500,000		1,670,475
City of Brownsville, 5.00% due 9/1/2022 (Water, Wastewater & Electric Utilities Systems)	A+/A2			1,300,000		1,494,909
City of Brownsville, 5.00% due 9/1/2022 (Water, Wastewater & Electric Utilities Systems)	A+/A2			1,520,000		1,747,894
City of Brownsville, 5.00% due 9/1/2023 (Water, Wastewater & Electric Utilities Systems)	A+/A2			2,380,000		2,760,729
City of Bryan, 5.00% due 7/1/2019 (Electric System Improvements)	A+/A2			8,000,000		8,074,480
City of Bryan, 5.00% due 7/1/2026 (Electric System Improvements)	A+/NR			535,000		634,392
City of Dallas GO, 5.00% due 2/15/2021 (Trinity River Corridor Infrastructure)	AA-/A1			1,965,000		2,186,279
City of Dallas GO, 5.00% due 2/15/2022	AA-/A1			13,955,000		15,760,219
City of Dallas GO, 5.00% due 2/15/2022 (Public Improvements)	AA-/A1			2,500,000		2,823,400
City of Dallas GO, 5.00% due 2/15/2023	AA-/A1			5,000,000		5,600,100
City of Dallas GO, 5.00% due 2/15/2024 (Trinity River Corridor Infrastructure)	AA-/A1			2,705,000		3,113,644
City of Dallas GO, 5.00% due 2/15/2024 (Trinity River Corridor Infrastructure)	AA-/A1			10,235,000		11,572,714
City of Dallas GO, 5.00% due 2/15/2025 (Trinity River Corridor Infrastructure)	AA-/A1			9,350,000		10,651,146
City of Dallas GO, 5.00% due 2/15/2025 (Public Improvements)	AA-/NR			3,000,000		3,471,930
City of Dallas GO, 5.00% due 2/15/2026 (Trinity River Corridor Infrastructure)	AA-/A1			8,585,000		9,695,040
City of Denton GO, 5.00% due 2/15/2019	AA+/Aa2			3,990,000		4,278,876
City of Denton GO, 5.00% due 2/15/2020	AA+/Aa2			4,195,000		4,485,965
City of Houston, 5.00% due 7/1/2017 (Airport System)	AA-/Aa3			1,600,000		1,616,560
City of Houston, 5.00% due 7/1/2018 (Airport System)	AA-/Aa3			1,000,000		1,049,170
City of Houston, 0% due 9/1/2020 (Convention & Entertainment Facilities; Insured: AGM/AMBAC)	AA/A2			3,650,000		3,343,874
City of Houston, 5.00% due 9/1/2020 (Convention & Entertainment Facilities)	A-/A2			650,000		722,261
City of Houston, 5.00% due 9/1/2021 (Convention & Entertainment Facilities)	A-/A2			1,500,000		1,694,910
City of Houston, 5.00% due 11/15/2021 (Combined Utility System)	NR/Aa2			5,455,000		6,266,977
City of Houston, 5.00% due 5/15/2022 (Combined Utility System)	AA/Aa2			3,000,000		3,477,570
City of Houston, 5.00% due 9/1/2022 (Convention & Entertainment Facilities)	A-/A2			600,000		683,904
City of Houston, 5.00% due 11/15/2022 (Combined Utility System)	AA/Aa2			7,535,000		8,817,080
City of Houston, 5.00% due 11/15/2022 (Combined Utility System)	NR/Aa2			7,110,000		8,307,324
City of Houston, 5.00% due 5/15/2023 (Combined Utility System)	AA/Aa2			4,445,000		5,227,098
City of Houston, 5.00% due 11/15/2023 (Combined Utility System)	AA/Aa2			5,000,000		5,924,700
City of Houston, 5.00% due 11/15/2023 (Combined Utility System)	NR/Aa2			7,400,000		8,758,492
City of Houston, 5.00% due 5/15/2024 (Combined Utility System)	AA/Aa2			7,250,000		8,608,577
City of Houston, 5.00% due 9/1/2024 (Convention & Entertainment Facilities)	A-/A2			1,215,000		1,410,494
City of Houston, 5.00% due 11/15/2024 (Combined Utility System)	AA/Aa2			5,000,000		5,972,100
City of Houston, 5.00% due 11/15/2025 (Combined Utility System)	NR/Aa2			16,000,000		19,253,440
City of Houston GO, 5.00% due 3/1/2020 (Public Improvements)	AA/Aa3			4,000,000		4,416,560
City of Houston GO, 5.00% due 3/1/2025 (Public Improvements)	AA/Aa3			23,570,000		27,877,889
City of Houston GO, 5.00% due 3/1/2026 (Public Improvements)	AA/Aa3			10,455,000		12,428,381
City of Laredo, 5.00% due 3/15/2021 (Sports Venues; Insured: AGM)	AA/A1			600,000		674,298
City of Laredo, 5.00% due 3/15/2022 (Sports Venues; Insured: AGM)	AA/A1			2,000,000		2,277,040
City of Laredo, 5.00% due 3/15/2023 (Sports Venues; Insured: AGM)	AA/A1			1,500,000		1,725,270
City of Laredo, 5.00% due 3/15/2024 (Sports Venues; Insured: AGM)	AA/A1			300,000		347,934
City of Laredo GO, 4.00% due 2/15/2018 (Acquire & Purchase Personal Property)	AA/Aa2			675,000		693,029
City of Laredo GO, 4.00% due 2/15/2018 (City Infrastructure Improvements)	AA/Aa2			175,000		179,674
City of Laredo GO, 4.00% due 2/15/2019 (Acquire & Purchase Personal Property)	AA/Aa2			305,000		321,272
City of Laredo GO, 4.00% due 2/15/2019 (City Infrastructure Improvements)	AA/Aa2			65,000		68,468
City of Laredo GO, 4.00% due 2/15/2020 (City Infrastructure Improvements)	AA/Aa2			110,000		118,346
City of Laredo GO, 5.00% due 2/15/2020 (Acquire & Purchase Personal Property)	AA/Aa2			735,000		811,418
City of Laredo GO, 5.00% due 2/15/2021 (Acquire & Purchase Personal Property)	AA/Aa2			775,000		877,130
City of Laredo GO, 5.00% due 2/15/2021 (City Infrastructure Improvements)	AA/Aa2			125,000		141,473
City of Laredo GO, 5.00% due 2/15/2022 (Acquire & Purchase Personal Property)	AA/Aa2			810,000		934,627
City of Laredo GO, 5.00% due 2/15/2022 (City Infrastructure Improvements)	AA/Aa2			150,000		173,079
City of Laredo GO, 5.00% due 2/15/2023 (City Infrastructure Improvements)	AA/Aa2			275,000		322,218
City of Laredo GO, 5.00% due 2/15/2023 (Acquire & Purchase Personal Property)	AA/Aa2			855,000		1,001,804
City of Laredo GO, 5.00% due 2/15/2024 (City Infrastructure Improvements)	AA/Aa2			445,000		526,982
City of Laredo GO, 5.00% due 2/15/2024 (Acquire & Purchase Personal Property)	AA/Aa2			900,000		1,065,807
City of Laredo GO, 5.00% due 2/15/2025 (City Infrastructure Improvements)	AA/Aa2			380,000		454,621
City of Laredo GO, 5.00% due 2/15/2025 (Acquire & Purchase Personal Property)	AA/Aa2	��		945,000		1,130,570
City of Laredo GO, 5.00% due 2/15/2026 (City Infrastructure Improvements)	AA/Aa2			1,000,000		1,205,760

Semi-Annual Report    35

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
City of Laredo GO, 5.00% due 2/15/2026 (Acquire & Purchase Personal Property)	AA/Aa2	$	995,000	$	1,199,731
City of Laredo GO, 5.00% due 2/15/2027 (City Infrastructure Improvements)	AA/Aa2		500,000		597,640
City of Lubbock GO, 5.00% due 2/15/2020 (Waterworks System)	AA+/Aa2		2,000,000		2,210,340
City of Lubbock GO, 5.00% due 2/15/2020 (Waterworks System)	AA+/Aa2		2,325,000		2,569,520
City of Lubbock GO, 5.00% due 2/15/2021 (Waterworks System)	AA+/Aa2		7,490,000		8,474,036
City of Lubbock GO, 5.00% due 2/15/2022 (Waterworks System)	AA+/Aa2		2,895,000		3,338,948
City of Lubbock GO, 5.00% due 2/15/2023 (Waterworks System)	AA+/Aa2		4,180,000		4,895,156
City of Lubbock GO, 5.00% due 2/15/2023 (Waterworks System)	AA+/Aa2		500,000		585,545
City of Lubbock GO, 5.00% due 2/15/2024 (Waterworks System)	AA+/Aa2		4,460,000		5,278,544
City of Lubbock GO, 5.00% due 2/15/2024 (Waterworks System)	AA+/Aa2		4,440,000		5,254,873
City of Lubbock GO, 5.00% due 2/15/2025 (Waterworks System)	AA+/Aa2		7,735,000		9,247,811
City of Lubbock GO, 5.00% due 2/15/2025 (Waterworks System)	AA+/Aa2		5,725,000		6,844,695
City of McAllen, 5.00% due 3/1/2024 (International Toll Bridge System; Insured: AGM)	AA/NR		1,000,000		1,162,710
City of McAllen, 5.00% due 3/1/2025 (International Toll Bridge System; Insured: AGM)	AA/NR		890,000		1,041,603
City of McAllen, 5.00% due 3/1/2027 (International Toll Bridge System; Insured: AGM)	AA/NR		1,125,000		1,316,194
City of Olmos Park Higher Education Facilities Corp., 5.00% due 12/1/2020 (University of the Incarnate Word)	NR/A3		3,620,000		4,025,042
City of Olmos Park Higher Education Facilities Corp., 5.00% due 12/1/2021 (University of the Incarnate Word)	NR/A3		1,000,000		1,130,930
City of San Antonio, 5.00% due 5/15/2023 (San Antonio Water System)	AA/Aa2		1,500,000		1,762,980
City of San Antonio, 5.25% due 2/1/2024 (CPS Energy)	AA/Aa1		7,000,000		8,440,600
City of San Antonio, 5.00% due 5/15/2024 (San Antonio Water System)	AA/Aa2		1,500,000		1,778,910
City of San Antonio, 5.00% due 5/15/2025 (San Antonio Water System)	AA/Aa2		1,000,000		1,197,590
City of San Antonio, 5.00% due 5/15/2026 (San Antonio Water System)	AA/Aa2		1,200,000		1,446,636
City of San Antonio, 3.00% due 12/1/2045 put 12/1/2020 (CPS Energy)	AA-/Aa2		36,000,000		37,699,560
City of San Antonio GO, 5.00% due 2/1/2023 (San Antonio Water System)	AAA/Aaa		13,880,000		16,344,672
City of San Antonio GO, 5.00% due 2/1/2024 (San Antonio Water System)	AAA/Aaa		14,595,000		17,397,678
City of San Antonio GO, 5.00% due 2/1/2025 (San Antonio Water System)	AAA/Aaa		15,340,000		18,489,916
City of San Antonio Public Facilities Corp., 5.00% due 9/15/2022 (Convention Center Refinancing & Expansion)	AA+/Aa2		1,450,000		1,674,808
Clifton Higher Education Finance Corp., 5.00% due 8/15/2017 (IDEA Public Schools)	BBB/NR		315,000		318,430
Clifton Higher Education Finance Corp., 5.00% due 8/15/2018 (IDEA Public Schools)	BBB/NR		325,000		337,272
Clifton Higher Education Finance Corp., 5.00% due 8/15/2019 (IDEA Public Schools)	BBB/NR		445,000		471,829
Clifton Higher Education Finance Corp., 5.00% due 8/15/2023 (IDEA Public Schools)	BBB/NR		1,100,000		1,203,983
Corpus Christi Business and Job Development Corp., 5.00% due 3/1/2021 (Seawall Project)	A+/A1		625,000		698,138
Dallas Area Rapid Transit, 5.00% due 12/1/2026	AA+/Aa2		2,245,000		2,692,720
Dallas Convention Center Hotel Development Corp., 0% due 1/1/2018	A-/Baa1		5,240,000		5,177,749
Dallas Convention Center Hotel Development Corp., 5.00% due 1/1/2019	A-/Baa1		5,200,000		5,514,028
Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2019	A/A2		1,050,000		1,120,907
Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2020	A/A2		1,050,000		1,150,674
Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2021	A/A2		3,000,000		3,357,780
Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2022	A/A2		2,430,000		2,757,564
Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2023	A/A2		510,000		586,852
Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2024	A/A2		950,000		1,103,330
Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2025	A/A2		2,920,000		3,408,574
Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2027	A/A2		5,625,000		6,616,800
Dallas ISD GO, 5.00% due 2/15/2036 put 2/15/2022 (Educational Facilities Improvements; Guaranty: PSF)	AAA/Aaa		3,975,000		4,524,186
Grayson County GO, 4.00% due 1/1/2020 (State Highway Toll System)	AA/Aa2		2,000,000		2,140,320
Grayson County GO, 5.00% due 1/1/2022 (State Highway Toll System)	AA/Aa2		3,000,000		3,436,560
Guadalupe-Blanco River Authority, 5.625% due 10/1/2017 (AEP Texas Central Co.)	A-/Baa1		5,000,000		5,109,700
a Gulf Coast Waste Disposal Authority, 4.00% due 10/1/2017 (Bayport Area Wastewater Treatment System; Insured: AGM)	AA/A2		800,000		812,080
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2019 (Bayport Area Wastewater Treatment System; Insured: AGM)	AA/A2		1,000,000		1,092,010
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2020 (Bayport Area Wastewater Treatment System; Insured: AGM)	AA/A2		2,000,000		2,228,020
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2022 (Bayport Area Wastewater Treatment System; Insured: AGM)	AA/A2		1,635,000		1,870,244
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2023 (Bayport Area Wastewater Treatment System; Insured: AGM)	AA/NR		500,000		577,970
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2024 (Bayport Area Wastewater Treatment System; Insured: AGM)	AA/NR		350,000		408,198
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2025 (Bayport Area Wastewater Treatment System; Insured: AGM)	AA/NR		1,000,000		1,177,180
Harris County Cultural Education Facilities Finance Corp., 5.00% due 11/15/2018 (Texas Medical Center Central Heating & Cooling Services Corp.)	AA/Aa3		2,365,000		2,510,211
Harris County Cultural Education Facilities Finance Corp., 5.00% due 11/15/2019 (Texas Medical Center Central Heating & Cooling Services Corp.)	AA/Aa3		1,000,000		1,094,260
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2022 (Memorial Hermann Health)	A+/A1		200,000		232,598
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2023 (Memorial Hermann Health)	A+/A1		400,000		469,668
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2024 (Memorial Hermann Health)	A+/A1		3,000,000		3,559,290
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2025 (Memorial Hermann Health)	A+/A1		2,845,000		3,335,791
Harris County GO, 5.00% due 10/1/2017 (Texas Permanent Improvement)	AAA/Aaa		3,500,000		3,573,815
Harris County GO, 5.00% due 10/1/2018 (Texas Permanent Improvement)	AAA/Aaa		3,000,000		3,180,300
Harris County GO, 5.00% due 10/1/2019 (Texas Permanent Improvement)	AAA/Aaa		700,000		766,955
Harris County GO, 5.00% due 10/1/2020 (Texas Permanent Improvement)	AAA/Aaa		500,000		562,360

36    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Harris County Health Facilities Development Corp., 7.00% due 12/1/2027 pre-refunded 12/1/2018 (Memorial Hermann Health; LOC: JPMorgan Chase Bank, N.A.)	NR/NR	$	1,245,000	$	1,367,520
Harris County-Houston Sports Authority, 5.00% due 11/15/2022 (Insured: AGM)	AA/A2		5,410,000		6,243,248
Harris County-Houston Sports Authority, 5.00% due 11/15/2023 (Insured: AGM)	AA/A2		9,975,000		11,652,196
Harris County-Houston Sports Authority, 5.00% due 11/15/2024 (Insured: AGM)	AA/A2		7,930,000		9,337,892
Hays County GO, 5.00% due 2/15/2022	AA/NR		750,000		862,740
a Hays County GO, 5.00% due 2/15/2023	AA/NR		1,500,000		1,745,760
Hays County GO, 5.00% due 2/15/2024	AA/NR		1,300,000		1,527,682
Hays County GO, 5.00% due 2/15/2025	AA/NR		500,000		593,035
Houston Higher Education Finance Corp., 5.00% due 8/15/2017 (KIPP, Inc.; Guaranty: PSF)	AAA/NR		925,000		939,273
Houston Higher Education Finance Corp., 5.00% due 8/15/2019 (KIPP, Inc.; Guaranty: PSF)	AAA/NR		1,020,000		1,109,933
Houston Higher Education Finance Corp., 5.875% due 5/15/2021 (Cosmos Foundation, Inc.)	BBB/NR		1,410,000		1,511,139
Houston Higher Education Finance Corp., 5.00% due 8/15/2021 (KIPP, Inc.; Guaranty: PSF)	AAA/NR		300,000		342,636
Houston Higher Education Finance Corp., 5.00% due 8/15/2022 (KIPP, Inc.; Guaranty: PSF)	AAA/NR		1,185,000		1,372,668
Katy ISD GO, 5.00% due 2/15/2023 (Educational Facilities Improvements; Guaranty: PSF)	AAA/Aaa		1,500,000		1,764,840
Katy ISD GO, 5.00% due 2/15/2024 (Educational Facilities Improvements; Guaranty: PSF)	AAA/Aaa		2,385,000		2,837,840
Katy ISD GO, 5.00% due 2/15/2025 (Educational Facilities Improvements; Guaranty: PSF)	AAA/Aaa		2,830,000		3,406,103
Katy ISD GO, 5.00% due 2/15/2026 (Educational Facilities Improvements; Guaranty: PSF)	AAA/Aaa		2,955,000		3,586,365
Keller ISD GO, 5.00% due 8/15/2023	AAA/Aaa		1,715,000		2,029,857
Keller ISD GO, 5.00% due 8/15/2024	AAA/Aaa		3,250,000		3,892,785
Keller ISD GO, 5.00% due 8/15/2025	AAA/Aaa		7,140,000		8,647,468
Keller ISD GO, 5.00% due 8/15/2026	AAA/Aaa		8,425,000		10,154,063
Laredo Community College District GO, 5.00% due 8/1/2019 (School Facilities Improvements)	AA-/Aa3		880,000		952,908
Laredo Community College District GO, 5.00% due 8/1/2020 (School Facilities Improvements)	AA-/Aa3		1,360,000		1,508,621
Laredo Community College District GO, 5.00% due 8/1/2022 (School Facilities Improvements)	AA-/Aa3		655,000		751,599
Laredo Community College District GO, 5.00% due 8/1/2023 (School Facilities Improvements)	AA-/Aa3		610,000		707,252
Laredo Community College District GO, 5.00% due 8/1/2024 (School Facilities Improvements)	AA-/Aa3		715,000		835,635
Lower Colorado River Authority, 5.00% due 5/15/2025 pre-refunded 5/15/2022	NR/NR		55,000		63,880
Lower Colorado River Authority, 5.00% due 5/15/2025	A/A2		8,020,000		9,135,582
Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2019	AA+/Aa2		2,960,000		3,246,528
Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2020	AA+/Aa2		1,565,000		1,760,797
Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2021	AA+/Aa2		1,000,000		1,149,480
Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2022	AA+/Aa2		1,750,000		2,045,312
Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2023	AA+/Aa2		1,125,000		1,332,304
Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2024	AA+/Aa2		1,140,000		1,360,168
Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2025	AA+/Aa2		1,220,000		1,469,588
Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2026	AA+/Aa2		1,000,000		1,213,110
Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2027	AA+/Aa2		1,120,000		1,344,750
New Caney ISD GO, 5.00% due 2/15/2024 (Guaranty: PSF)	AAA/Aaa		865,000		1,002,942
North East ISD GO, 2.00% due 8/1/2044 put 8/1/2019 (Educational Facilities; Guaranty: PSF)	AAA/Aaa		10,445,000		10,598,228
North Harris County Regional Water Authority, 5.00% due 12/15/2020 (Regional Water Production Design, Acquisition and Construction)	AA-/NR		1,000,000		1,123,640
North Harris County Regional Water Authority, 5.00% due 12/15/2021 (Regional Water Production Design, Acquisition and Construction)	AA-/NR		1,000,000		1,145,620
North Harris County Regional Water Authority, 5.00% due 12/15/2023 (Regional Water Production Design, Acquisition and Construction)	AA-/NR		1,000,000		1,169,990
North Harris County Regional Water Authority, 5.00% due 12/15/2025 (Regional Water Production Design, Acquisition and Construction)	AA-/NR		2,000,000		2,375,980
North Harris County Regional Water Authority, 5.00% due 12/15/2026 (Regional Water Production Design, Acquisition and Construction)	AA-/NR		1,490,000		1,785,601
North Texas Tollway Authority, 5.00% due 1/1/2024	A/A1		12,000,000		14,047,320
Northside ISD GO, 2.00% due 6/1/2039 put 6/1/2019 (Educational Facilities; Guaranty: PSF)	NR/Aaa		2,135,000		2,158,485
Pasadena ISD GO, 3.00% due 2/15/2044 put 8/15/2019 (Educational Facilities; Guaranty: PSF)	AAA/Aaa		8,775,000		9,133,371
Round Rock ISD GO, 5.00% due 8/1/2017 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		1,290,000		1,308,473
Round Rock ISD GO, 5.00% due 8/1/2018 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		1,075,000		1,133,340
Round Rock ISD GO, 5.00% due 8/1/2019 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		1,500,000		1,633,515
Round Rock ISD GO, 5.00% due 8/1/2020 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		1,000,000		1,119,190
Round Rock ISD GO, 5.00% due 8/1/2021 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		2,000,000		2,293,620
Round Rock ISD GO, 5.00% due 8/1/2022 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		670,000		782,419
Round Rock ISD GO, 5.00% due 8/1/2024 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		2,305,000		2,759,500
Round Rock ISD GO, 5.00% due 8/1/2025 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		1,000,000		1,210,560
Round Rock ISD GO, 5.00% due 8/1/2026 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		1,575,000		1,893,008
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2017	BBB+/NR		1,000,000		1,019,720
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2019	BBB+/NR		2,565,000		2,780,486
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2020	BBB+/NR		1,620,000		1,790,132
San Antonio Public Facilities Corp., 5.00% due 9/15/2020 (Convention Center Refinancing & Expansion)	AA+/Aa2		915,000		1,021,360

Semi-Annual Report    37

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
San Juan Higher Education Finance Authority, 5.125% due 8/15/2020 (IDEA Public Schools)		BBB/NR	$	1,115,000	$	1,172,846
Tarrant County Cultural Education Facilities Finance Corp., 5.00% due 8/15/2017 (Scott & White Memorial Hospital) (ETM)		AA-/Aa3		2,000,000		2,031,460
Tarrant Regional Water District, 2.00% due 3/1/2020		AAA/NR		800,000		816,288
Tarrant Regional Water District, 5.00% due 3/1/2021		AAA/NR		1,000,000		1,135,520
Tarrant Regional Water District, 5.00% due 3/1/2022		AAA/NR		650,000		752,382
Tarrant Regional Water District, 5.00% due 3/1/2023		AAA/NR		700,000		822,983
Tarrant Regional Water District, 5.00% due 3/1/2024		AAA/NR		1,000,000		1,187,090
Tarrant Regional Water District, 5.00% due 3/1/2025		AAA/NR		1,500,000		1,795,620
Tarrant Regional Water District, 5.00% due 3/1/2026		AAA/NR		2,000,000		2,409,260
Tarrant Regional Water District, 5.00% due 3/1/2027		AAA/NR		2,000,000		2,390,080
Texas Municipal Power Agency, 5.00% due 9/1/2017 (Insured: AGM)		AA/A2		10,000,000		10,168,000
Texas Transportation Commission, 5.00% due 8/15/2022 (Central Texas Turnpike System)		BBB+/Baa1		400,000		450,004
Texas Transportation Commission, 5.00% due 8/15/2023 (Central Texas Turnpike System)		BBB+/Baa1		730,000		829,922
Texas Transportation Commission, 5.00% due 8/15/2024 (Central Texas Turnpike System)		BBB+/Baa1		1,000,000		1,145,440
Texas Transportation Commission GO, 5.00% due 4/1/2022 (Highway Improvements)		AAA/Aaa		2,880,000		3,343,910
Texas Transportation Commission GO, 5.00% due 4/1/2023 (Highway Improvements)		AAA/Aaa		3,500,000		4,129,440
Texas Transportation Commission GO, 5.00% due 4/1/2024 (Highway Improvements)		AAA/Aaa		4,000,000		4,770,880
University of Texas System, 5.00% due 8/15/2025 (Campus Improvements)		AAA/Aaa		7,000,000		8,477,910
University of Texas System, 5.00% due 8/15/2026 (Campus Improvements)		AAA/Aaa		3,750,000		4,588,650
Uptown Development Authority, 5.00% due 9/1/2017 (Infrastructure Improvements)		BBB/NR		1,580,000		1,604,016
Uptown Development Authority, 5.00% due 9/1/2018 (Infrastructure Improvements)		BBB/NR		1,870,000		1,959,648
Uptown Development Authority, 5.00% due 9/1/2019 (Infrastructure Improvements)		BBB/NR		1,945,000		2,091,964
Walnut Creek Special Utility District, 4.00% due 1/10/2020 (Water System Improvements; Insured: BAM)		AA/NR		520,000		552,079
Walnut Creek Special Utility District, 4.00% due 1/10/2021 (Water System Improvements; Insured: BAM)		AA/NR		445,000		478,464
Walnut Creek Special Utility District, 5.00% due 1/10/2022 (Water System Improvements; Insured: BAM)		AA/NR		525,000		591,675
Walnut Creek Special Utility District, 5.00% due 1/10/2024 (Water System Improvements; Insured: BAM)		AA/NR		750,000		862,485
West Harris County Regional Water Authority, 5.00% due 12/15/2020 (Insured: Natl-Re)		AA-/A1		2,140,000		2,196,881
Ysleta ISD, 5.00% due 8/15/2017 (Public School Finance System; Guaranty: PSF)		AAA/Aaa		2,190,000		2,224,952
U.S. VIRGIN ISLANDS — 0.06%
Virgin Islands Public Finance Authority, 6.75% due 10/1/2019 (Diageo Project)		NR/Caa2		4,920,000		4,308,296
UTAH — 0.06%
Utah Transit Authority, 5.00% due 6/15/2022 (Integrated Mass Transit System)		A+/A1		710,000		816,997
Utah Transit Authority, 5.00% due 6/15/2023 (Integrated Mass Transit System)		A+/A1		775,000		901,015
Utah Transit Authority, 5.00% due 6/15/2024 (Integrated Mass Transit System)		A+/A1		825,000		970,035
Utah Transit Authority, 5.00% due 6/15/2025 (Integrated Mass Transit System)		A+/A1		1,235,000		1,462,191
VERMONT — 0.25%
Vermont Colleges GO, 4.00% due 7/1/2017		A-/NR		1,865,000		1,878,857
Vermont EDA, 5.00% due 12/15/2020 (Vermont Public Service Corp.)		NR/NR		14,250,000		15,883,335
VIRGINIA — 0.17%
Fairfax County IDA, 4.00% due 5/15/2022 (Inova Health System)		AA+/Aa2		5,500,000		6,079,480
Fairfax County IDA, 5.00% due 5/15/2022 (Inova Health System)		AA+/Aa2		5,000,000		5,788,700
WASHINGTON — 2.15%
Energy Northwest, 5.00% due 7/1/2017 (Bonneville Power Administration Project 3)		AA-/Aa1		5,470,000		5,528,310
Energy Northwest, 5.00% due 7/1/2017 (Bonneville Power Administration Project 1)		AA-/Aa1		5,000,000		5,053,300
Energy Northwest, 5.00% due 7/1/2018 (Nine Canyon Wind Project Phase I-III)		NR/A2		1,000,000		1,046,730
Energy Northwest, 5.00% due 7/1/2018 pre-refunded 7/1/2017 (Bonneville Power Administration Project 3)		NR/NR		185,000		186,954
Energy Northwest, 5.00% due 7/1/2018 (Bonneville Power Administration Project 3)		AA-/Aa1		290,000		292,897
Energy Northwest, 5.00% due 7/1/2019 (Nine Canyon Wind Project Phase I-III)		NR/A2		2,000,000		2,158,420
Energy Northwest, 5.00% due 7/1/2020 (Nine Canyon Wind Project Phase I-III)		NR/A2		2,000,000		2,203,100
Energy Northwest, 5.00% due 7/1/2021 (Nine Canyon Wind Project Phase I-III)		NR/A2		2,000,000		2,247,580
Energy Northwest, 5.00% due 7/1/2022 (Nine Canyon Wind Project Phase I-III)		NR/A2		1,000,000		1,140,490
Energy Northwest, 5.00% due 7/1/2023 (Nine Canyon Wind Project Phase I-III)		NR/A2		1,000,000		1,150,990
Energy Northwest, 5.00% due 7/1/2025 (Nine Canyon Wind Project Phase I-III)		NR/A2		850,000		995,767
King County Federal Way School District No. 210 GO, 4.125% due 12/1/2019 pre-refunded 12/1/2017 (Insured: Natl-Re)		AA+/Aa1		2,000,000		2,043,480
Marysville School District No. 25 GO, 4.00% due 12/1/2017 (Snohomish County Educational Facilities) (State Aid Withholding)		NR/Aa1		1,000,000		1,019,990
Marysville School District No. 25 GO, 4.00% due 12/1/2018 (Snohomish County Educational Facilities) (State Aid Withholding)		NR/Aa1		1,100,000		1,153,922
Marysville School District No. 25 GO, 5.00% due 12/1/2019 (Snohomish County Educational Facilities) (State Aid Withholding)		NR/Aa1		1,390,000		1,528,319
Marysville School District No. 25 GO, 5.00% due 12/1/2020 (Snohomish County Educational Facilities) (State Aid Withholding)		NR/Aa1		1,625,000		1,831,261

38    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Marysville School District No. 25 GO, 5.00% due 12/1/2021 (Snohomish County Educational Facilities) (State Aid Withholding)		NR/Aa1	$	1,750,000	$	2,014,617
Marysville School District No. 25 GO, 5.00% due 12/1/2022 (Snohomish County Educational Facilities) (State Aid Withholding)		NR/Aa1		2,620,000		3,063,645
Marysville School District No. 25 GO, 5.00% due 12/1/2023 (Snohomish County Educational Facilities) (State Aid Withholding)		NR/Aa1		1,700,000		2,002,090
Port of Seattle, 5.50% due 9/1/2018 (Insured: Natl-Re)		AA-/A2		5,000,000		5,309,800
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2018 (Skagit Regional Health)		NR/Baa2		800,000		837,960
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2019 (Skagit Regional Health)		NR/Baa2		835,000		893,074
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2021 (Skagit Regional Health)		NR/Baa2		1,160,000		1,275,478
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2022 (Skagit Regional Health)		NR/Baa2		500,000		553,725
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2023 (Skagit Regional Health)		NR/Baa2		750,000		835,275
Skagit County Public Hospital District No. 1 GO, 4.00% due 12/1/2017 (Skagit Regional Health)		NR/A1		1,000,000		1,019,960
Skagit County Public Hospital District No. 1 GO, 4.00% due 12/1/2018 (Skagit Regional Health)		NR/A1		1,270,000		1,328,229
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2019 (Skagit Regional Health)		NR/A1		1,695,000		1,856,703
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2020 (Skagit Regional Health)		NR/A1		1,570,000		1,763,691
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2021 (Skagit Regional Health)		NR/A1		3,135,000		3,596,629
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2022 (Skagit Regional Health)		NR/A1		3,635,000		4,238,083
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2018 (Island Hospital)		NR/A1		1,000,000		1,043,650
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2019 (Island Hospital)		NR/A1		1,000,000		1,063,870
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2020 (Island Hospital)		NR/A1		1,000,000		1,078,930
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2021 (Island Hospital)		NR/A1		1,000,000		1,090,360
Skagit County Public Hospital District No. 2 GO, 5.00% due 12/1/2022 (Island Hospital)		NR/A1		1,700,000		1,955,408
State of Washington COP, 5.00% due 7/1/2017 (State Agency Real Property Projects) (State Aid Withholding)		NR/Aa2		2,555,000		2,582,109
State of Washington COP, 5.00% due 7/1/2018 (State Agency Real Property Projects) (State Aid Withholding)		NR/Aa2		2,670,000		2,803,340
State of Washington COP, 5.00% due 7/1/2019 (State and Local Agency Real and Personal Property Projects) (State Aid Withholding)		NR/Aa2		1,000,000		1,083,390
State of Washington COP, 5.00% due 7/1/2020 (State and Local Agency Real and Personal Property Projects) (State Aid Withholding)		NR/Aa2		3,290,000		3,659,401
State of Washington COP, 5.00% due 7/1/2021 (State and Local Agency Real and Personal Property Projects) (State Aid Withholding)		NR/Aa2		3,125,000		3,555,656
State of Washington COP, 5.00% due 7/1/2022 (State and Local Agency Real and Personal Property Projects) (State Aid Withholding)		NR/Aa2		3,000,000		3,464,220
State of Washington COP, 5.00% due 7/1/2024 (State and Local Agency Real and Personal Property Projects)		NR/Aa2		4,410,000		5,216,986
State of Washington COP, 5.00% due 7/1/2025 (State and Local Agency Real and Personal Property Projects)		NR/Aa2		3,650,000		4,351,895
State of Washington COP, 5.00% due 7/1/2026 (State and Local Agency Real and Personal Property Projects)		NR/Aa2		4,745,000		5,699,647
State of Washington COP, 5.00% due 7/1/2027 (State and Local Agency Real and Personal Property Projects)		NR/Aa2		4,970,000		5,994,864
State of Washington GO, 0% due 1/1/2018 (Stadium and Exhibition Center; Insured: Natl-Re)		AA+/Aa1		4,000,000		3,970,480
State of Washington GO, 0% due 1/1/2019 (Stadium and Exhibition Center; Insured: Natl-Re)		AA+/Aa1		3,000,000		2,934,270
State of Washington GO, 0% due 12/1/2019 (Public Highway, Bridge, Ferry Capital and Operating Costs; Insured: Natl-Re)		AA+/Aa1		3,030,000		2,918,950
State of Washington GO, 5.00% due 7/1/2025 (Capital Projects)		AA+/Aa1		10,475,000		12,546,012
Tacoma School District No.10 GO, 5.00% due 12/1/2017 (Pierce County Capital Projects)		AA+/Aa1		2,280,000		2,343,338
Tacoma School District No.10 GO, 5.00% due 12/1/2018 (Pierce County Capital Projects)		AA+/Aa1		4,000,000		4,264,080
Tacoma School District No.10 GO, 5.00% due 12/1/2019 (Pierce County Capital Projects)		AA+/Aa1		2,000,000		2,200,680
Tacoma School District No.10 GO, 5.00% due 12/1/2020 (Pierce County Capital Projects)		AA+/Aa1		2,500,000		2,822,100
a Washington Health Care Facilities Authority, 5.00% due 7/1/2017 (Overlake Hospital Medical Center)		A/A2		1,245,000		1,257,724
Washington Health Care Facilities Authority, 5.00% due 8/15/2017 (MultiCare Health Systems)		AA-/Aa3		1,000,000		1,015,190
Washington Health Care Facilities Authority, 5.25% due 8/1/2018 (Highline Medical Center; Insured: FHA 242) (ETM)		NR/NR		7,935,000		8,192,253
Washington Health Care Facilities Authority, 5.00% due 8/15/2018 (MultiCare Health Systems)		AA-/Aa3		2,000,000		2,108,180
Washington Health Care Facilities Authority, 5.00% due 7/1/2019 (Overlake Hospital Medical Center)		A/A2		1,050,000		1,135,365
Washington Health Care Facilities Authority, 4.75% due 7/1/2020 (Overlake Hospital Medical Center)		A/A2		1,000,000		1,082,800
WEST VIRGINIA — 0.10%
Mason County, 1.625% due 10/1/2022 put 10/1/2018 (Appalachian Power Company)		A-/Baa1		3,300,000		3,299,736
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2020 (Higher Education Facilities)		A+/Aa3		1,000,000		1,100,750
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2021 (Higher Education Facilities)		A+/Aa3		1,000,000		1,127,310
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2022 (Higher Education Facilities)		A+/Aa3		1,500,000		1,714,290
WISCONSIN — 0.62%
Wisconsin Health & Educational Facilities Authority, 5.00% due 4/15/2017 (Aurora Health Care, Inc.)		NR/A2		1,295,000		1,297,072
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2017 (Agnesian Healthcare, Inc.)		A/A2		1,000,000		1,009,610
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2017 (Aurora Health Care, Inc.)		NR/A2		5,025,000		5,079,823
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2018 (Agnesian Healthcare, Inc.)		A/A2		1,855,000		1,937,418
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2019 (Agnesian Healthcare, Inc.)		A/A2		1,000,000		1,074,360
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2020 (Agnesian Healthcare, Inc.)		A/A2		2,110,000		2,320,050
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2020 (ProHealth Care, Inc.)		A+/A1		1,075,000		1,194,895
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2021 (ProHealth Care, Inc.)		A+/A1		2,575,000		2,925,200

Semi-Annual Report    39

Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2022 (ProHealth Care, Inc.)		A+/A1	$	1,600,000	$	1,802,592
Wisconsin Health & Educational Facilities Authority, 5.00% due 12/1/2022 (UnityPoint Health)		NR/Aa3		1,000,000		1,162,400
Wisconsin Health & Educational Facilities Authority, 5.00% due 11/15/2024 (Ascension Health Alliance System)		AA+/Aa2		625,000		744,100
Wisconsin Health & Educational Facilities Authority, 1.25% due 8/15/2025 put 8/15/2017 (Aurora Health Care, Inc.)		NR/A2		3,800,000		3,799,544
Wisconsin Health & Educational Facilities Authority, 5.00% due 11/15/2025 (Ascension Health Alliance System)		AA+/Aa2		1,215,000		1,461,013
Wisconsin Health & Educational Facilities Authority, 5.00% due 11/15/2026 (Ascension Health Alliance System)		AA+/Aa2		2,000,000		2,383,960
Wisconsin Health & Educational Facilities Authority, 5.00% due 11/15/2043 put 6/1/2021 (Ascension Health Alliance System)		AA+/Aa2		10,000,000		11,313,900
WPPI Energy, 5.00% due 7/1/2021 (Power Supply System)		A/A1		4,100,000		4,654,197
TOTAL INVESTMENTS — 99.03% (Cost $6,965,714,900)					$	7,076,869,342
OTHER ASSETS LESS LIABILITIES — 0.97%						69,209,749
NET ASSETS — 100.00%					$	7,146,079,091

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.

a Segregated as collateral for a when-issued security.

b When-issued security.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

AGC	Insured by Associated General Contractors
AGM	Insured by Assured Guaranty Municipal Corp.
AMBAC	Insured by American Municipal Bond Assurance Corp.
BAM	Insured by Build America Mutual Insurance Co.
BHAC	Insured by Berkshire Hathaway Assurance Corp.
COP	Certificates of Participation
DFA	Development Finance Authority
EDA	Economic Development Authority
ETM	Escrowed to Maturity
FGIC	Insured by Financial Guaranty Insurance Co.
FHA	Insured by Federal Housing Administration
FSA	Insured by Financial Security Assurance Co.
GNMA	Collateralized by Government National Mortgage Association

GO	General Obligation
HFA	Health Facilities Authority
HFFA	Health Facilities Financing Authority
IDA	Industrial Development Authority
ISD	Independent School District
JEA	Jacksonville Electric Authority
Mtg	Mortgage
Natl-Re	Insured by National Public Finance Guarantee Corp.
PSF	Guaranteed by Permanent School Fund
Q-SBLF	Insured by Qualified School Bond Loan Fund
Syncora	Insured by Syncora Guarantee Inc.
USD	Unified School District

See notes to financial statements.

40    Semi-Annual Report

Statement of Assets and Liabilities
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (cost $6,965,714,900) (Note 3)	$	7,076,869,342
Cash		14,056,514
Receivable for investments sold		4,445,803
Receivable for fund shares sold		13,489,814
Interest receivable		79,219,244
Prepaid expenses and other assets		140,863
Total Assets		7,188,221,580
LIABILITIES
Payable for investments purchased		22,652,534
Payable for fund shares redeemed		15,213,492
Payable to investment advisor and other affiliates (Note 4)		2,611,510
Accounts payable and accrued expenses		757,746
Dividends payable		907,207
Total Liabilities		42,142,489
NET ASSETS	$	7,146,079,091
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(947,051	)
Net unrealized appreciation on investments		111,154,442
Accumulated net realized gain (loss)		(22,240,692	)
Net capital paid in on shares of beneficial interest		7,058,112,392
	$	7,146,079,091
NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($1,388,226,944 applicable to 97,001,981 shares of beneficial interest outstanding - Note 5)	$	14.31
Maximum sales charge, 1.50% of offering price		0.22
Maximum offering price per share	$	14.53
Class C Shares:
Net asset value and offering price per share* ($647,995,232 applicable to 45,195,334 shares of beneficial interest outstanding - Note 5)	$	14.34
Class I Shares:
Net asset value, offering and redemption price per share ($5,109,856,915 applicable to 357,001,441 shares of beneficial interest outstanding - Note 5)	$	14.31

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    41

Statement of Operations
Thornburg Limited Term Municipal Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Interest income (net of premium amortized of $55,611,347)	$	87,170,715
EXPENSES
Investment advisory fees (Note 4)		9,740,462
Administration fees (Note 4)
Class A Shares		970,203
Class C Shares		430,812
Class I Shares		1,299,423
Distribution and service fees (Note 4)
Class A Shares		1,940,405
Class C Shares		1,719,152
Transfer agent fees
Class A Shares		504,265
Class C Shares		167,062
Class I Shares		1,992,032
Registration and filing fees
Class A Shares		20,974
Class C Shares		12,984
Class I Shares		61,399
Custodian fees (Note 2)		353,400
Professional fees		74,185
Accounting fees (Note 4)		127,690
Trustee fees		173,320
Other expenses		297,579
Total Expenses		19,885,347
Net Investment Income		67,285,368
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments		(20,073,455	)
Net change in unrealized appreciation (depreciation) on investments		(159,558,946	)
Net Realized and Unrealized Loss		(179,632,401	)
Net Decrease in Net Assets Resulting from Operations	$	(112,347,033	)

See notes to financial statements.

42    Semi-Annual Report

Statements of Changes in Net Assets

Thornburg Limited Term Municipal Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	67,285,368		$	130,961,632
Net realized gain (loss) on investments		(20,073,455	)		(1,591,144	)
Net unrealized appreciation (depreciation) on investments		(159,558,946	)		56,431,868
Net Increase (Decrease) in Net Assets Resulting from Operations		(112,347,033	)		185,802,356
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(12,495,991	)		(26,222,114	)
Class C Shares		(4,747,668	)		(9,606,259	)
Class I Shares		(50,041,709	)		(95,133,259	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(270,371,168	)		(15,604,952	)
Class C Shares		(77,048,628	)		5,714,401
Class I Shares		(272,000,278	)		637,192,599
Net Increase (Decrease) in Net Assets		(799,052,475	)		682,142,772
NET ASSETS
Beginning of Period		7,945,131,566			7,262,988,794
End of Period	$	7,146,079,091		$	7,945,131,566
Distribution in excess of net investment income	$	(947,051	)	$	(947,051	)

* Unaudited.

See notes to financial statements.

Semi-Annual Report    43

Notes to Financial Statements
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg Limited Term Municipal Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal individual income taxes as is consistent, in the view of Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.

The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment

44    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	6,965,714,900
Gross unrealized appreciation on a tax basis	$	141,863,402
Gross unrealized depreciation on a tax basis		(30,708,960	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	111,154,442

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $1,594,821. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $572,416, (of which $233,596 are short-term and $338,820 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryfor-wards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The

Semi-Annual Report    45

Notes to Financial Statements, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities
Municipal Bonds	$	7,076,869,342	$	—	$	7,076,869,342	$	—
Total Investments in Securities	$	7,076,869,342	$	—	$	7,076,869,342	$	—

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017.

46    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $ 500 million		0.500	%
Next $ 500 million		0.400
Next $ 500 million		0.300
Next $ 500 million		0.250
Over $ 2 billion		0.225

The Fund’s effective management fee for the six months ended March 31, 2017, was 0.262% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $127,690 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned no net commissions from the sale of Class A shares, and collected contingent deferred sales charges aggregating $29,975 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A and Class C shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I shares. The Advisor and the Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C shares.

Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by the Trustees and Officers of the Trust and the Advisor is approximately 0.75%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had transactions with affiliated funds of $2,588,274 in purchases and $2,586,402 in sales.

Semi-Annual Report    47

Notes to Financial Statements, Continued
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		10,376,714		$	148,602,395			24,409,105		$	356,976,557
Shares issued to shareholders in reinvestment of dividends		788,282			11,274,303			1,617,427			23,656,616
Shares repurchased		(30,149,369	)		(430,247,866	)		(27,099,577	)		(396,238,125	)
Net increase (decrease)		(18,984,373	)	$	(270,371,168	)		(1,073,045	)	$	(15,604,952	)
Class C Shares
Shares sold		2,047,066		$	29,399,903			7,967,832		$	116,744,198
Shares issued to shareholders in reinvestment of dividends		288,074			4,128,118			565,864			8,292,917
Shares repurchased		(7,726,503	)		(110,576,649	)		(8,145,288	)		(119,322,714	)
Net increase (decrease)		(5,391,363	)	$	(77,048,628	)		388,408		$	5,714,401
Class I Shares
Shares sold		60,667,675		$	867,936,929			114,131,595		$	1,669,936,548
Shares issued to shareholders in reinvestment of dividends		3,207,848			45,880,553			5,957,028			87,156,964
Shares repurchased		(83,083,398	)		(1,185,817,760	)		(76,565,919	)		(1,119,900,913	)
Net increase (decrease)		(19,207,875	)	$	(272,000,278	)		43,522,704		$	637,192,599

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term invest- ments) of $641,237,139 and $768,266,753, respectively.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

48    Semi-Annual Report

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Semi-Annual Report    49

Financial Highlights

    Thornburg Limited Term Municipal Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE  PERIOD)																		RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+	NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS		TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)	NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	14.63	0.12		(0.32	)		(0.20	)		(0.12	)		—		(0.12	)	$14.31		1.61	(d)		0.73	(d)		0.73	(d)		0.73	(d)		(1.40	)	9.71	$	1,388,227
2016(c)	$	14.52	0.22		0.11			0.33			(0.22	)		—		(0.22	)	$14.63		1.54			0.72			0.72			0.72			2.32		14.53	$	1,697,329
2015(c)	$	14.58	0.23		(0.06	)		0.17			(0.23	)		—		(0.23	)	$14.52		1.56			0.73			0.73			0.73			1.15		18.56	$	1,700,127
2014(c)	$	14.38	0.26		0.20			0.46			(0.26	)		—		(0.26	)	$14.58		1.78			0.72			0.71			0.72			3.20		14.46	$	1,865,213
2013(c)	$	14.70	0.26		(0.32	)		(0.06	)		(0.26	)		—		(0.26	)	$14.38		1.81			0.71			0.71			0.71			(0.39	)	17.47	$	2,178,317
2012(c)	$	14.39	0.31		0.31			0.62			(0.31	)		—		(0.31	)	$14.70		2.13			0.72			0.72			0.72			4.36		12.72	$	2,131,540
CLASS C SHARES
2017(b)	$	14.66	0.10		(0.32	)		(0.22	)		(0.10	)		—		(0.10	)	$14.34		1.38	(d)		0.97	(d)		0.97	(d)		0.97	(d)		(1.51	)	9.71	$	647,995
2016	$	14.55	0.19		0.11			0.30			(0.19	)		—		(0.19	)	$14.66		1.30			0.96			0.96	��		0.96			2.07		14.53	$	741,637
2015	$	14.60	0.19		(0.05	)		0.14			(0.19	)		—		(0.19	)	$14.55		1.32			0.96			0.96			0.96			0.98		18.56	$	730,395
2014	$	14.41	0.22		0.19			0.41			(0.22	)		—		(0.22	)	$14.60		1.52			0.97			0.96			0.97			2.87		14.46	$	749,648
2013	$	14.72	0.23		(0.31	)		(0.08	)		(0.23	)		—		(0.23	)	$14.41		1.55			0.97			0.97			0.97			(0.58	)	17.47	$	795,052
2012	$	14.41	0.27		0.31			0.58			(0.27	)		—		(0.27	)	$14.72		1.85			0.99			0.99			0.99			4.08		12.72	$	777,026
CLASS I SHARES
2017(b)	$	14.64	0.14		(0.33	)		(0.19	)		(0.14	)		—		(0.14	)	$14.31		1.93	(d)		0.42	(d)		0.42	(d)		0.42	(d)		(1.31	)	9.71	$	5,109,857
2016	$	14.53	0.27		0.11			0.38			(0.27	)		—		(0.27	)	$14.64		1.85			0.41			0.41			0.41			2.64		14.53	$	5,506,165
2015	$	14.58	0.27		(0.05	)		0.22			(0.27	)		—		(0.27	)	$14.53		1.88			0.41			0.41			0.41			1.54		18.56	$	4,832,467
2014	$	14.38	0.30		0.20			0.50			(0.30	)		—		(0.30	)	$14.58		2.09			0.40			0.40			0.40			3.53		14.46	$	4,417,547
2013	$	14.70	0.31		(0.32	)		(0.01	)		(0.31	)		—		(0.31	)	$14.38		2.15			0.37			0.37			0.37			(0.05	)	17.47	$	3,502,580
2012	$	14.39	0.36		0.31			0.67			(0.36	)		—		(0.36	)	$14.70		2.46			0.39			0.39			0.39			4.71		12.72	$	3,084,872

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

50    Semi-Annual Report Semi-Annual Report    51

Expense Example
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
Class A Shares
Actual	$	1,000.00	$	986.04	$	3.62
Hypothetical*	$	1,000.00	$	1,021.28	$	3.69
Class C Shares
Actual	$	1,000.00	$	984.94	$	4.78
Hypothetical*	$	1,000.00	$	1,020.12	$	4.86
Class I Shares
Actual	$	1,000.00	$	986.91	$	2.07
Hypothetical*	$	1,000.00	$	1,022.84	$	2.11

† Expenses are equal to the annualized expense ratio for each class (A: 0.73%; C: 0.97%; I: 0.42%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

52    Semi-Annual Report

Other Information
Thornburg Limited Term Municipal Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg. com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    53

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

54    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    55

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH1072

2    Semi-Annual Report

Semi-Annual Report

Thornburg Intermediate Municipal Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	19
Statement of Operations	20
Statements of Changes in Net Assets	21
Notes to Financial Statements	22
Financial Highlights	28
Expense Example	30
Other Information	31
Trustees’ Statement to Shareholders	32

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	THIMX	885-215-202
Class C	THMCX	885-215-780
Class I	THMIX	885-215-673

Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Semi-Annual Report     3

Letter to Shareholders

Thornburg Intermediate Municipal Fund March 31, 2017 (Unaudited)

April 28, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg Intermediate Municipal Fund. The net asset value (NAV) of the Class A shares decreased by 50 cents to $13.97 per share during the six-month period ended March 31, 2017. If you were with us the entire period, you received dividends of 14.85 cents per share. If you reinvested your dividends, you received 14.91 cents per share. Dividends were lower for Class C shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund underperformed the index with a negative 2.43% total return (without sales charge) for the six months ended March 31, 2017, compared to the negative 1.94% return for the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index.

The Fund’s duration and curve positioning added 0.41% to relative performance. Credit factors detracted 0.30% from relative performance and were largely driven by a single, troubled, legacy issue. Other risk factors detracted 0.14% from relative performance. Fund expenses accounted for any remaining differences.

The Municipal Bond Market

After a few years of relative quiet in the municipal bond market, things heated up following the election of Donald Trump in 2016. Stocks were rallying, bond prices, particularly municipal bond prices, came under pressure. Bond yields initially rose after the election based on expectations for greater infrastructure spending, stronger growth and higher inflation. The uptick in rates led mutual fund investors to sell their shares, which caused municipal bond mutual funds to sell their bonds to meet those redemptions. After significant inflows in January to September of 2016, investors pulled $26 billion from municipal bond funds in November and December, some of which was related to tax-loss selling.

When the calendar turned in 2017, these outflows slowed and the municipal bond market produced positive returns. A contributing factor to positive returns was a decline in municipal bond issuance, as during the first quarter of 2017, the supply of new municipal bonds declined by 12% from the same time last year.

The value metrics we use at Thornburg suggest that the municipal bond market continues to price in the rosiest of scenarios moving forward, as investors have been pushed out of the risk spectrum. That is why we have Thornburg Intermediate Municipal Fund positioned in the lower end of its respective risk spectrum. In this environment, we continue to keep duration shorter, credit quality higher and we maintain higher levels of reserves.

Inside the Risk Metrics

Real yields, which indicate how much yield over inflation investors are being paid to own municipal bonds, increased over the six-month period. As of September 30, 2016, 10-year AAA general obligation (GO) bonds were yielding 1.64% and the Core Personal Consumption Expenditures Index (PCE) was running at 1.70%, so investors were earning less than inflation. By the end of February 2017, the yield on 10-year AAA GO bonds had increased to 2.30%, while Core PCE was running at 1.80%. While certainly more interesting at the end of the period, the 0.5% real yield was significantly less than the average of 2% investors have earned over the past 20 years.

The second thing to consider is credit spreads, which reflect the incremental yield an investor earns from owning a lower-rated credit versus a higher-rated credit, and which today remain narrow. As of March 31, 2017, an investor earned about 1.28% more for owning a 10-year BBB revenue bond versus a 10-year AAA GO bond. That is slightly higher than the average 0.75% an investor earned between 1994 and 2007. However, in 2007, approximately 50% of the new-issue municipal bond market was insured by AAA/AAA municipal bond insurers. Today, there are no AAA/AAA municipal bond insurers, and insurance coverage generally accounts for only 6% to 8% of the new-issue municipal bond market.

Finally, the slope of the yield curve, which tracks how much incremental yield an investor earns by owning securities with longer maturities, is slightly flatter than historical averages. Currently, investors are earning about 1.4% more for owning a 10-year AAA GO municipal bond, versus a one-year AAA GO municipal bond. Since 1994, an investor earned on average almost 1.6% to extend maturities from one to 10 years.

The Economy and Tax Reform

The U.S. economy continued its slow recovery in 2016, growing at a rate of 1.6% for 2016 in aggregate.

Unemployment continued to tick down. During the six-month period ended March 31, 2017, the U.S. economy added 976,000 jobs and by the end of the period the unemployment rate had fallen to 4.5%. Inflation remained stable, with the Core PCE Index reading 1.75% through March, below the Fed’s 2% target range.

Taken in aggregate, the economy continues to grow, jobs are being added and inflation has remained contained to date. In an effort to keep the economy in check, the U.S. Federal Reserve raised the Fed funds rate in December of 2016, and again in March of 2017.

The economic health of the municipal bond market appears steady with a couple of notable exceptions. The drama in

4    Semi-Annual Report

Letter to Shareholders, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

Puerto Rico is still playing out; the only winners are the consultants and lawyers hired by all sides.

Elsewhere, Bloomberg provides a heat map of the economic health of U.S. states, covering the period from the fourth quarter of 2015 through the fourth quarter of 2016 (the most recent data available). The majority of the states appear healthy except those with heavy dependence on oil, gas, and coal. The energy-dependent states should improve if oil can maintain prices above $50/barrel.

Tax reform is the second highest priority of President Trump’s and the Republican-led House agenda—second only to health care reform. The most important items in the tax proposals for the owners of municipal bonds (individuals as well as corporations) are those relevant to investment income. By lowering the effective tax rate on competing sources of income, prices of municipal bonds would most likely fall (yields would increase) to become more competitive with these alternative sources of income. There are a number of proposals that have been brought forth, and we believe that if tax reform is enacted, it will be something different than any one of these specific proposals.

President Trump’s tax reform proposal (released Thursday, April 27, 2017) called for the elimination of the deduction for state and local taxes on an individual’s federal tax return. This would, if adopted, have significant impacts for residents of high-tax states. The near-term effects on the economy would be minimal, but long term, residents would have less money in their pockets to spend, the cost of residing in high tax-states would increase and might cause out-migration and lower growth.

Conclusion

We continue to run this portfolio as an actively managed laddered portfolio. Laddering a portfolio is a simple way to diversify its investment along its entire investment universe. While past performance does not guarantee future results, our study showed that this structure outperformed other structures around 60% of the time and added 0.15% to 0.25% of total return annually from 1997 through 2016.* Our view is that the current investment environment is not compensating investors enough to take on extra risk, so we have positioned our portfolios at the lower end of their risk spectrums.

Thank you for your continued trust in us, and please know that the co-managers of this Fund are invested alongside you.

Sincerely,

Christopher Ryon,CFA	Nicholos Venditti,CFA
Portfolio Manager	Portfolio Manager
Managing Director	Managing Director

* We examined three hypothetical portfolios of bonds from December 1997 to December 2016. One using a laddering strategy, one using a barbell strategy, and a third using a bullet strategy. For the laddering strategy, the BofA Merrill Lynch 1–12 Year Municipal Index was used as a proxy, since, similar to a ladder, it contains bonds relatively evenly spread across all maturities within the index. The barbell strategy is a duration management technique wherein bonds are clustered at the two extremes of a maturity range. For the barbell strategy, the BofA Merrill Lynch 1–3 Year Municipal Index and BofA Merrill Lynch 8–12 Year Municipal Index were combined. The two indices were weighted in such a way as to give them the same duration as the broader 1–12 Year Index, and each year the portfolio was re-weighted back to the original index weights. This was done to make the two portfolios duration-neutral so that the impact of the strategy chosen could be isolated. The bullet strategy invests at the duration midpoint of the portfolio, therefore the BofA Merrill Lynch 6–8 Year Index was used to represent the bullet strategy. For additional information, see www.thornburg.com/whyladder. Past performance does not guarantee future results.

The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
A Shares (Incep: 7/22/91)
Without sales charge		-0.85	%		2.18	%		2.37	%		3.63	%		4.73	%
With sales charge		-2.81	%		1.50	%		1.96	%		3.42	%		4.65	%
C Shares (Incep: 9/1/94)
Without sales charge		-1.16	%		1.85	%		2.04	%		3.32	%		3.90	%
With sales charge		-1.75	%		1.85	%		2.04	%		3.32	%		3.90	%
I Shares (Incep: 7/5/96)		-0.62	%		2.48	%		2.68	%		3.96	%		4.43	%

30-DAY YIELDS, A SHARES

(with sales charge)

Annualized Distribution Yield	2.04	%
SEC Yield	1.43	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 2.00%. Class C shares include a 0.60% CDSC for the first year only. There is no sales charge for Class I shares. As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 0.92%; C shares, 1.27%; I shares, 0.61%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: C shares, 1.24%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

Glossary

The BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 3 years and less than 15 years.

The BofA Merrill Lynch indices used in the Ladder vs Barbell & Bullet study are model portfolios of municipal obligations throughout the United States, with maturities ranging either from one to three years, six to eight years, eight to twelve years, or one to twelve years. These indices are subsets of the BofA Merrill Lynch U.S. Municipal Securities Index, which is comprised of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least a one-year remaining term to final maturity, a fixed coupon schedule and an investment grade rating.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.

Bond Credit Ratings (Credit Quality) – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Insured Bonds – Individual bonds are sometimes insured by private companies. The insurance guarantees the payment of principal and interest on a bond issue if the issuer defaults. Mutual funds are not insured, even if the underlying bonds are insured.

Core Personal Consumption Expenditure Index (Core PCE) – Core Personal Consumption Expenditure Index is a measure of the Personal Consumption Expenditure Index that excludes the more volatile and seasonal food and energy prices.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.

General Obligation Bond (GO) – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.

Laddering – Laddering involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.

Revenue Bond – A bond on which the debt service is payable solely from the revenue generated from the operation of the project being financed or a category of facilities, or from other non-tax sources.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

6    Semi-Annual Report

Fund Summary
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund’s primary investment goal is to obtain as high a level of current income exempt from federal individual income tax as is consistent, in the view of the Fund’s investment advisor, with preservation of capital (may be subject to Alternative Minimum Tax).

The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios.

This Fund invests principally in a laddered portfolio of municipal bonds with a dollar-weighted average maturity of normally three to 10 years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.

LONG-TERM STABILITY OF PRINCIPAL

Net Asset Value History of A Shares

SECURITY CREDIT RATINGS

A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.

KEY PORTFOLIO ATTRIBUTES
Number of Bonds	548
Effective Duration	5.2 Yrs
Average Maturity	8.1 Yrs

PORTFOLIO LADDER

Percent of portfolio maturing in each year. Cash includes cash equivalents and other.

There is no guarantee that the Fund will meet its investment objectives.

All data is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    7

Schedule of Investments
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
ALABAMA — 2.02%
Alabama Capital Region Solid Waste Disposal Authority, 4.00% due 6/15/2017 (Montgomery Materials Recovery Facility) (AMT)	AA/NR	$	750,000	$	752,408
Alabama Capital Region Solid Waste Disposal Authority, 4.00% due 6/15/2019 (Montgomery Materials Recovery Facility) (AMT)	AA/NR		815,000		838,203
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2020 (Montgomery Materials Recovery Facility) (AMT)	AA/NR		845,000		900,246
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2021 (Montgomery Materials Recovery Facility) (AMT)	AA/NR		890,000		954,338
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2022 (Montgomery Materials Recovery Facility) (AMT)	AA/NR		930,000		1,007,320
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2023 (Montgomery Materials Recovery Facility) (AMT)	AA/NR		980,000		1,055,921
Alabama Public School & College Authority, 5.00% due 6/1/2021 (Educational Facilities)	AA/Aa1		775,000		883,477
Alabama Public School & College Authority, 5.00% due 6/1/2026 (Educational Facilities)	AA/Aa1		4,380,000		5,097,488
Board of Trustees of the University of Alabama, 5.25% due 9/1/2025 pre-refunded 9/1/2018 (Birmingham Hospital)	NR/A1		2,000,000		2,119,140
City of Mobile Industrial Development Board, 1.85% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant)	A-/A1		5,500,000		5,514,300
East Alabama Health Care Authority GO, 5.00% due 9/1/2027 (Health Care Facilities Capital Improvements)	A/NR		1,250,000		1,358,887
Montgomery Water Works & Sanitary Sewer Board, 5.00% due 9/1/2017	AAA/Aa1		2,185,000		2,223,172
UAB Medicine Finance Authority, 5.00% due 9/1/2032 (University Hospital)	AA-/A1		6,000,000		6,798,900
ALASKA — 0.19%
Alaska Housing Finance Corp. GO, 5.00% due 12/1/2021 (State Capital Project)	AA+/Aa2		500,000		562,255
City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project)	A-/A2		2,000,000		2,211,860
ARIZONA — 1.59%
Arizona Board of Regents, 5.00% due 8/1/2024 (University of Arizona SPEED)	A+/Aa3		1,635,000		1,845,065
Arizona Board of Regents, 5.00% due 8/1/2029 (University of Arizona SPEED)	A+/Aa3		1,000,000		1,148,120
Arizona HFA, 5.00% due 7/1/2017 (Dignity Health)	A/A3		1,450,000		1,464,601
Arizona HFA, 5.00% due 12/1/2031 (Scottsdale Lincoln Hospitals)	NR/A2		2,500,000		2,809,100
Arizona State University Energy Management LLC, 5.00% due 7/1/2017 (Tempe Campus Project)	AA-/A1		465,000		469,813
City of Flagstaff GO, 3.00% due 7/1/2020 (Urban Trail, Street and Utilities Improvements)	AA/Aa2		700,000		734,769
City of Flagstaff GO, 4.00% due 7/1/2022 (Urban Trail, Street and Utilities Improvements)	AA/Aa2		420,000		467,762
City of Flagstaff GO, 4.00% due 7/1/2023 (Urban Trail, Street and Utilities Improvements)	AA/Aa2		200,000		224,452
City of Phoenix, 5.00% due 7/1/2017 (Civic Improvement Corp.; Insured: Natl-Re)	AA+/Aa3		1,000,000		1,010,450
County of Pima IDA, 5.00% due 12/1/2030 (Providence Day School Project)	BBB+/NR		2,000,000		2,105,240
Salt Verde Financial Corp., 5.25% due 12/1/2022 (Salt River Project Agricultural Improvement and Power District)	BBB+/Baa1		2,000,000		2,256,160
Salt Verde Financial Corp., 5.25% due 12/1/2028 (Salt River Project Agricultural Improvement and Power District)	BBB+/Baa1		770,000		902,155
State of Arizona, 5.00% due 7/1/2019 (Insured: AGM)	AA/A1		7,280,000		7,875,213
ARKANSAS — 0.28%
Board of Trustees of the University of Arkansas, 5.00% due 11/1/2031 (Fayetteville Campus)	NR/Aa2		1,000,000		1,142,010
Board of Trustees of the University of Arkansas, 5.00% due 11/1/2032 (Fayetteville Campus)	NR/Aa2		655,000		744,676
Board of Trustees of the University of Arkansas, 5.00% due 11/1/2033 (Fayetteville Campus)	NR/Aa2		1,000,000		1,129,660
Board of Trustees of the University of Arkansas, 5.00% due 11/1/2034 (Fayetteville Campus)	NR/Aa2		1,000,000		1,125,340
CALIFORNIA — 7.57%
Alameda County Joint Powers Authority, 5.25% due 12/1/2027 (Alameda County Medical Center Highland Hospital)	AA/Aa1		1,000,000		1,181,730
Alameda County Joint Powers Authority, 5.25% due 12/1/2028 (Alameda County Medical Center Highland Hospital)	AA/Aa1		1,150,000		1,353,412
Alameda County Joint Powers Authority, 5.25% due 12/1/2029 (Alameda County Medical Center Highland Hospital)	AA/Aa1		1,500,000		1,755,405
Brentwood Infrastructure Financing Authority, 5.00% due 11/1/2026 (Insured: AGM)	AA/NR		2,000,000		2,197,300
California Educational Facilities Authority, 5.50% due 4/1/2029 (Pitzer College)	NR/A2		3,000,000		3,302,880
California HFFA, 5.00% due 11/15/2022 (Children’s Hospital Los Angeles)	BBB+/Baa2		1,000,000		1,150,660
California HFFA, 5.00% due 3/1/2026 (Adventist Health System/West)	A/NR		3,020,000		3,444,733
California HFFA, 5.25% due 3/1/2027 (Dignity Health)	A/A3		5,250,000		5,880,577
California Infrastructure & Economic Development Bank, 5.75% due 8/15/2029 (King City Joint Union High School District)	AA-/NR		1,500,000		1,681,800
California Pollution Control Financing Authority, 5.25% due 6/1/2023 put 12/1/2017 (Solid Waste Disposal-Republic Services, Inc.) (AMT)	BBB+/Baa3		2,000,000		2,043,380
California State Public Works Board, 5.00% due 6/1/2017 (University of California Multiple Campus Capital Projects; Insured: Natl-Re) (ETM)	AA+/Aaa		2,000,000		2,014,100
California State Public Works Board, 5.00% due 4/1/2028 (Corrections, Rehabilitation and Judicial Council)	A+/A1		2,500,000		2,836,700
California Statewide Community Development Authority, 6.25% due 8/15/2028 pre-refunded 8/15/2018 (Enloe Medical Center; Insured: California Mtg Insurance)	AA-/NR		1,050,000		1,125,684
California Statewide Community Development Authority, 6.00% due 7/1/2030 pre-refunded 1/1/2019 (Aspire Public Schools)	NR/NR		7,015,000		7,602,647
Carson Redevelopment Agency, 6.25% due 10/1/2022 pre-refunded 10/1/2019 (Redevelopment Project Area No. 1)	A-/NR		1,620,000		1,823,666
Carson Redevelopment Agency, 6.375% due 10/1/2024 pre-refunded 10/1/2019 (Redevelopment Project Area No. 1)	A-/NR		1,300,000		1,467,427
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC)	A+/NR		5,500,000		5,513,420
City of Los Angeles GO, 3.00% due 6/29/2017 (Cash Flow Management)	SP-1+/Mig1		9,750,000		9,797,775
Corona-Norco USD COP, 5.00% due 4/15/2018 (Insured: AGM)	AA/A1		1,245,000		1,296,842
Corona-Norco USD COP, 5.00% due 4/15/2021 (Insured: AGM)	AA/A1		1,000,000		1,101,700

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
County of Los Angeles GO, 3.00% due 6/30/2017 (Cash Management Program)	SP-1+/Mig1	$	4,500,000	$	4,526,055
Delano Financing Authority, 5.00% due 12/1/2025 (City of Delano Police Station and Woollomes Avenue Bridge)	A-/NR		2,555,000		2,811,139
El Camino Hospital District, 6.25% due 8/15/2017 (Insured: AMBAC) (ETM)	NR/NR		155,000		158,176
Franklin-McKinley School District GO, 5.25% due 8/1/2027 (Insured: Natl-Re)	NR/Aa3		1,000,000		1,202,470
Fresno USD GO, 6.00% due 8/1/2026 (Educational Facilities and Improvements; Insured: Natl-Re)	AA-/A3		1,165,000		1,429,140
Jurupa Public Financing Authority, 5.50% due 9/1/2025 (Eastvale Community Services; Insured: AGM)	AA/NR		1,195,000		1,407,316
Jurupa Public Financing Authority, 5.50% due 9/1/2027 (Eastvale Community Services; Insured: AGM)	AA/NR		1,335,000		1,554,407
M-S-R Energy Authority, 6.125% due 11/1/2029	BBB+/NR		2,500,000		3,125,500
North City West School Facilities Financing Authority, 5.00% due 9/1/2024 (Carmel Valley Schools; Insured: AGM)	AA/NR		1,080,000		1,250,521
Oakland USD GO, 5.00% due 8/1/2032 (County of Alameda Educational Facilities)	AA-/Aa3		1,000,000		1,155,230
Oakland USD GO, 5.00% due 8/1/2033 (County of Alameda Educational Facilities)	AA-/Aa3		1,000,000		1,148,050
Oakland USD GO, 5.00% due 8/1/2034 (County of Alameda Educational Facilities)	AA-/Aa3		1,000,000		1,143,290
Redwood City Redevelopment Agency, 0% due 7/15/2023 (Redevelopment Area A-2; Insured: AMBAC)	A-/NR		2,065,000		1,687,270
San Jose Redevelopment Agency, 5.25% due 8/1/2027 (Merged Area Redevelopment Project)	A/A2		2,400,000		2,668,008
San Jose Redevelopment Agency, 5.375% due 8/1/2028 (Merged Area Redevelopment Project)	A/A2		1,175,000		1,309,326
San Mateo Union High School District GO, 0.01% due 9/1/2019 (Educational Facilities; Insured: Natl-Re)	AA+/Aaa		3,000,000		2,900,520
Saratoga Union School District GO, 0.01% due 9/1/2023 (Insured: Natl-Re)	AA+/Aa1		900,000		773,064
State of California GO, 5.25% due 9/1/2026 (Kindergarten-University Facilities)	AA-/Aa3		5,000,000		5,754,400
State of California GO, 5.00% due 8/1/2034 (Kindergarten-University Facilities)	AA-/Aa3		5,000,000		5,734,050
State of California GO, 5.00% due 8/1/2035 (Kindergarten-University Facilities)	AA-/Aa3		4,000,000		4,569,880
Tuolumne Wind Project Authority, 5.875% due 1/1/2029 pre-refunded 1/1/2019	AA-/A2		3,000,000		3,251,400
Turlock Irrigation District, 5.00% due 1/1/2021 pre-refunded 1/1/2020	NR/NR		745,000		821,340
Turlock Irrigation District, 5.00% due 1/1/2021	AA-/A2		1,005,000		1,105,400
William S. Hart Union High School District GO, 0% due 9/1/2021 (Educational Facilities)	AA/A2		800,000		733,520
COLORADO — 1.34%
City & County of Denver COP, 0.95% due 12/1/2029 put 4/3/2017 (Wellington E. Webb Municipal Office Building; SPA:
JPMorgan Chase Bank, N.A.) (daily demand notes)	AA+/Aa1		7,990,000		7,990,000
City & County of Denver COP, 0.95% due 12/1/2031 put 4/3/2017 (Wellington E. Webb Municipal Office Building; SPA:
JPMorgan Chase Bank, N.A.) (daily demand notes)	AA+/Aa1		2,610,000		2,610,000
Housing Authority of the City and County of Denver, 5.20% due 11/1/2027 pre-refunded 11/1/2017 (Three Towers
Rehabilitation; Insured: AGM) (AMT)	NR/Aaa		1,220,000		1,250,341
Housing Authority of the City and County of Denver, 5.20% due 11/1/2027 (Three Towers Rehabilitation; Insured: AGM) (AMT)	NR/A2		1,335,000		1,362,688
Park Creek Metropolitan District, 5.25% due 12/1/2020 pre-refunded 12/1/2019 (Insured: AGM)	AA/NR		1,120,000		1,236,648
Regional Transportation District COP, 5.50% due 6/1/2022 (FasTracks Transportation System)	A/Aa3		3,000,000		3,376,800
Regional Transportation District COP, 5.00% due 6/1/2028 (North Metro Rail Line)	A/Aa3		1,550,000		1,767,744
CONNECTICUT — 1.23%
City of Hartford GO, 5.00% due 7/1/2031 (Various Public Improvements; Insured: AGM)	AA/A2		1,700,000		1,827,007
Connecticut Health & Educational Facilities Authority, 5.75% due 7/1/2029 pre-refunded 7/1/2019 (Ethel Walker School)	NR/NR		1,350,000		1,488,146
State of Connecticut GO, 5.00% due 5/15/2027 (Various Capital Projects)	AA-/Aa3		5,000,000		5,781,600
State of Connecticut GO Floating Rate Note, 1.31% due 9/15/2017 (Various Capital Projects)	AA-/Aa3		2,000,000		1,999,980
State of Connecticut GO Floating Rate Note, 1.54% due 6/15/2018 (Various Capital Projects)	AA-/Aa3		6,820,000		6,842,915
DISTRICT OF COLUMBIA — 0.54%
Metropolitan Airports Authority, 0% due 10/1/2023 (Dulles Toll Road; Insured: AGM)	AA/A3		4,890,000		4,017,917
Metropolitan Airports Authority, 0% due 10/1/2024 (Dulles Toll Road; Insured: AGM)	AA/A3		5,000,000		3,921,000
FLORIDA — 6.22%
Broward County School Board COP, 5.00% due 7/1/2030 (Educational Facilities)	A+/Aa3		1,250,000		1,431,463
Broward County School Board COP, 5.00% due 7/1/2032 (Educational Facilities)	A+/Aa3		2,000,000		2,268,440
City of Jacksonville, 5.00% due 10/1/2026 (Better Jacksonville Plan)	A+/A1		2,075,000		2,348,568
City of Lakeland, 5.00% due 10/1/2018 (Electric Power System Smart Grid Project; Insured: AGM)	AA/Aa3		2,000,000		2,118,040
City of Lakeland, 5.25% due 10/1/2027 (Electric Power System Smart Grid Project; Insured: AGM)	AA/Aa3		3,680,000		4,551,976
City of Lakeland, 5.00% due 11/15/2028 (Lakeland Regional Health Systems)	NR/A2		2,775,000		3,172,824
City of Lakeland, 5.25% due 10/1/2036 (Electric Power System Smart Grid Project; Insured: AGM)	AA/Aa3		2,770,000		3,455,436
Escambia County HFA, 5.95% due 7/1/2020 (Florida Health Care Facility Loan Program; Insured: AMBAC) (ETM)	NR/NR		260,000		297,898
Florida Department of Management Services, 5.00% due 9/1/2018 (Financing or Acquisition of State-Owned Office Buildings; Insured: AMBAC)	AA+/Aa2		500,000		501,740
Florida State Department of Children & Families COP, 5.00% due 10/1/2018 (South Florida Evaluation Treatment Center)	AA+/NR		2,090,000		2,096,939
Florida State Department of Children & Families COP, 5.00% due 10/1/2019 (South Florida Evaluation Treatment Center)	AA+/NR		2,255,000		2,262,487
Florida State Municipal Loan Council, 5.00% due 10/1/2020 pre-refunded 10/1/2017 (Insured: Natl-Re)	AA-/A3		580,000		592,134
Florida State Municipal Loan Council, 5.00% due 10/1/2020 pre-refunded 10/1/2017 (Insured: Natl-Re)	AA-/A3		420,000		428,807
Florida State Municipal Loan Council, 5.00% due 10/1/2024 pre-refunded 10/1/2017 (Insured: Natl-Re)	AA-/A3		1,285,000		1,311,882
Florida State Municipal Loan Council, 5.00% due 10/1/2024 pre-refunded 10/1/2017 (Insured: Natl-Re)	AA-/A3		950,000		969,922
JEA, 0.90% due 10/1/2038 put 4/3/2017 (Water and Sewer System; SPA: U.S. Bank, N.A.) (daily demand notes)	AA+/Aa2		650,000		650,000

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Lake County School Board COP, 5.00% due 6/1/2026 (School District Facility Projects)	A/NR	$	1,210,000	$	1,363,343
Manatee County, 5.00% due 10/1/2026 (Public Utilities System Improvements)	NR/Aa2		370,000		434,643
Manatee County, 5.00% due 10/1/2027 (Public Utilities System Improvements)	NR/Aa2		470,000		547,588
Manatee County, 5.00% due 10/1/2028 (Public Utilities System Improvements)	NR/Aa2		1,030,000		1,190,999
Manatee County, 5.00% due 10/1/2031 (Public Utilities System Improvements)	NR/Aa2		2,675,000		3,042,812
Manatee County, 5.00% due 10/1/2033 (Public Utilities System Improvements)	NR/Aa2		1,535,000		1,728,656
Miami-Dade County, 5.00% due 10/1/2028 (Miami International Airport)	A/A2		1,000,000		1,151,360
Miami-Dade County, 5.00% due 10/1/2029 (Miami International Airport)	A/A2		1,335,000		1,527,347
Miami-Dade County, 5.00% due 10/1/2030 (Miami International Airport)	A/A2		1,000,000		1,138,110
Miami-Dade County, 5.00% due 10/1/2031 (Miami International Airport)	A/A2		2,000,000		2,266,860
Miami-Dade County Educational Facilities Authority, 5.25% due 4/1/2024 (University of Miami; Insured: AMBAC)	A-/A3		1,000,000		1,172,270
Miami-Dade County GO, 5.00% due 10/1/2023 (Seaport Properties)	AA/Aa2		1,040,000		1,177,706
Miami-Dade County GO, 6.25% due 7/1/2026 pre-refunded 7/1/2018 (Building Better Communities)	AA/Aa2		2,130,000		2,269,089
Miami-Dade County School Board COP, 5.00% due 10/1/2021 (Insured: AMBAC)	A/A1		3,035,000		3,459,323
Miami-Dade County School Board COP, 5.25% due 5/1/2022 pre-refunded 5/1/2018 (Insured: AGM)	AA/A1		2,600,000		2,720,484
Miami-Dade County School Board COP, 5.00% due 5/1/2030	A/A1		3,250,000		3,669,477
Orange County, 5.00% due 10/1/2031 (Tourist Development)	AA-/Aa3		2,000,000		2,317,760
Orange County HFA, 5.125% due 10/1/2026 (Orlando Health, Inc.)	A/A2		2,000,000		2,171,080
Palm Beach County HFA, 5.00% due 12/1/2025 (Boca Raton Regional Hospital)	BBB+/NR		500,000		566,485
Reedy Creek Improvement District GO, 5.00% due 6/1/2032 (District-Wide Transportation, additional Buena Vista Corridor Improvements and District Facilities)	AA-/Aa3		3,965,000		4,548,331
Reedy Creek Improvement District GO, 5.00% due 6/1/2033 (District-Wide Transportation, additional Buena Vista Corridor Improvements and District Facilities)	AA-/Aa3		7,300,000		8,330,249
Sarasota County Public Hospital Board, 4.343% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re)	AA-/A1		2,000,000		2,073,100
School Board of Broward County COP, 5.00% due 7/1/2026 (Educational Facilities and Equipment)	A+/Aa3		3,000,000		3,348,780
School Board of Broward County COP, 5.00% due 7/1/2027 (Educational Facilities and Equipment)	A+/Aa3		2,000,000		2,223,180
School District of Manatee County, 5.00% due 10/1/2032 (School Facilities Improvement; Insured: AGM)	AA/NR		2,250,000		2,563,267
South Miami HFA, 5.00% due 8/15/2022 (Baptist Health Group)	AA-/Aa3		1,500,000		1,521,450
Sunshine State Governmental Finance Commission, 5.00% due 9/1/2028 (Miami-Dade County Program)	AA-/Aa3		3,500,000		4,015,690
GEORGIA — 1.86%
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2024 (UGAREF Bolton Commons, LLC)	NR/Aa2		485,000		562,605
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2025 (UGAREF Bolton Commons, LLC)	NR/Aa2		510,000		587,112
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2027 (UGAREF Bolton Commons, LLC)	NR/Aa2		735,000		834,688
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2028 (UGAREF Bolton Commons, LLC)	NR/Aa2		590,000		667,131
City of Atlanta, 5.50% due 11/1/2022 (Water & Wastewater System; Insured: Natl-Re)	AA-/Aa2		530,000		610,581
City of Atlanta, 5.50% due 11/1/2024 (Water & Wastewater System; Insured: AGM)	AA/Aa2		5,000,000		5,526,300
Clarke County Hospital Authority, 5.00% due 1/1/2023 pre-refunded 1/1/2022 (Athens Regional Medical Center)	AA/Aa1		2,060,000		2,379,094
Clarke County Hospital Authority, 5.00% due 1/1/2024 pre-refunded 1/1/2022 (Athens Regional Medical Center)	AA/Aa1		2,310,000		2,667,819
Clarke County Hospital Authority, 5.00% due 1/1/2025 pre-refunded 1/1/2022 (Athens Regional Medical Center)	AA/Aa1		525,000		606,323
Clarke County Hospital Authority, 5.00% due 1/1/2026 pre-refunded 1/1/2022 (Athens Regional Medical Center)	AA/Aa1		725,000		837,302
Development Authority of Fulton County, 5.00% due 10/1/2019 (Georgia Tech Athletic Assoc.)	NR/A2		3,000,000		3,267,120
Gwinnett County School District GO, 4.50% due 10/1/2017 (Capital Projects)	AAA/Aaa		7,000,000		7,131,250
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 (Insured: Natl-Re)	AA-/A1		125,000		129,359
Valdosta and Lowndes County Hospital Authority, 5.00% due 10/1/2024 (South Medical Center)	AA-/Aa2		1,200,000		1,358,472
GUAM — 2.60%
Government of Guam, 5.00% due 11/15/2031 (Various Capital Projects)	A/NR		5,500,000		5,831,595
Government of Guam, 5.00% due 11/15/2032 (Various Capital Projects)	A/NR		12,000,000		12,661,200
Government of Guam, 5.00% due 11/15/2033 (Various Capital Projects)	A/NR		10,500,000		11,032,035
Guam Power Authority, 5.00% due 10/1/2023 (Electric Power System; Insured: AGM)	AA/A2		2,000,000		2,276,940
Guam Power Authority, 5.00% due 10/1/2024 (Electric Power System; Insured: AGM)	AA/A2		2,000,000		2,268,080
Guam Power Authority, 5.00% due 10/1/2025 (Electric Power System; Insured: AGM)	AA/A2		2,500,000		2,829,600
Guam Waterworks Authority, 5.25% due 7/1/2024 (Water and Wastewater System)	A-/Baa2		1,000,000		1,132,190
HAWAII — 0.88%
County of Hawaii GO, 5.00% due 9/1/2033	AA-/Aa2		1,250,000		1,443,237
State of Hawaii GO, 5.00% due 12/1/2027 pre-refunded 12/1/2021	NR/NR		3,635,000		4,199,734
State of Hawaii GO, 5.00% due 12/1/2027 pre-refunded 12/1/2021	NR/NR		2,550,000		2,946,168
State of Hawaii GO, 5.00% due 12/1/2027	AA+/Aa1		3,815,000		4,334,527
IDAHO — 0.34%
State of Idaho GO, 2.00% due 6/30/2017	SP-1+/Mig1		5,000,000		5,013,300

10    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/MOODY’S	PRINCIPAL AMOUNT		VALUE
ILLINOIS — 6.50%
Board of Trustees of Southern Illinois University, 5.25% due 4/1/2019 (Housing & Auxiliary Facilities; Insured: Natl-Re)	AA-/A3	$	1,000,000	$	1,067,180
Chicago O’Hare International Airport, 5.00% due 1/1/2019 (2015 Airport Projects)	A/NR		1,000,000		1,066,130
Chicago O’Hare International Airport, 5.00% due 1/1/2020 (2015 Airport Projects)	A/NR		1,000,000		1,096,200
Chicago O’Hare International Airport, 5.00% due 1/1/2021 (2015 Airport Projects)	A/NR		1,000,000		1,120,140
Chicago O’Hare International Airport, 5.00% due 1/1/2029 (2016 Airport Projects)	A/NR		1,000,000		1,147,070
Chicago O’Hare International Airport, 5.00% due 1/1/2030 (2016 Airport Projects)	A/NR		765,000		871,205
Chicago Park District GO, 5.00% due 1/1/2025 (Capital Improvement Plan)	AA+/NR		1,000,000		1,120,690
Chicago Park District GO, 5.00% due 1/1/2027 (Capital Improvement Plan)	AA+/NR		1,945,000		2,150,956
Chicago Park District GO, 5.00% due 1/1/2028 (Capital Improvement Plan)	AA+/NR		3,450,000		3,795,552
Chicago Park District GO, 5.00% due 1/1/2029 (Capital Improvement Plan)	AA+/NR		1,995,000		2,183,468
Chicago Park District GO, 5.00% due 1/1/2030 (Capital Improvement Plan)	AA+/NR		3,500,000		3,806,425
Chicago Transit Authority, 5.00% due 12/1/2018 (Bombardier Transit Rail System)	AA/A1		1,500,000		1,580,880
City of Chicago, 5.00% due 1/1/2028 (Wastewater Transmission System)	A/NR		5,365,000		5,937,553
City of Chicago, 5.00% due 1/1/2029 (Wastewater Transmission System)	A/NR		2,500,000		2,750,700
City of Chicago, 5.75% due 11/1/2030 (Water System; Insured: AMBAC)	AA+/Aa1		1,270,000		1,537,551
a City of Chicago, 5.00% due 1/1/2032 (Midway Airport)	A/A3		4,805,000		5,301,549
City of Chicago, 5.00% due 1/1/2033 (Midway Airport)	A/A3		5,000,000		5,504,000
City of Chicago, 5.25% due 1/1/2034 (Midway Airport)	A/A3		4,700,000		5,181,374
City of Chicago GO, 5.00% due 1/1/2020 (Municipal Facilities Projects; Insured: AMBAC)	BBB+/Ba1		75,000		75,165
City of Chicago GO, 5.00% due 12/1/2022 (Modern Schools Across Chicago Program; Insured: AMBAC)	BBB+/Ba1		415,000		416,166
City of Chicago GO, 5.00% due 12/1/2024 (Modern Schools Across Chicago Program; Insured: AMBAC)	BBB+/Ba1		500,000		501,395
City of Mount Vernon GO, 4.00% due 12/15/2025 (Various Municipal Capital Improvements; Insured: AGM)	AA/A2		1,900,000		1,971,136
City of Waukegan GO, 5.00% due 12/30/2017 (Insured: AGM)	NR/A2		1,680,000		1,724,671
City of Waukegan GO, 5.00% due 12/30/2018 (Insured: AGM)	NR/A2		2,000,000		2,112,580
Community College District No. 525 GO, 6.25% due 6/1/2024 (Joliet Junior College)	AA/NR		500,000		528,515
Cook County Community College District No. 508 GO, 5.25% due 12/1/2026 (City Colleges of Chicago)	A+/NR		1,000,000		1,107,850
Cook County GO, 5.25% due 11/15/2024	AA-/A2		3,000,000		3,258,960
Cook County School District No. 104 GO, 0% due 12/1/2022 (Argo Summit Elementary School Facilities; Insured: AGM) (ETM)	NR/NR		2,000,000		1,788,960
Forest Preserve District of DuPage County GO, 4.00% due 11/1/2022 (Land Acquisition and Development)	AAA/NR		750,000		835,215
Illinois Educational Facilities Authority, 5.75% due 11/1/2028 pre-refunded 11/1/2018 (Rush University Medical Center)	AA-/Aaa		1,000,000		1,073,980
Illinois Finance Authority, 5.00% due 11/1/2017 (Central DuPage Health)	AA+/Aa2		2,000,000		2,043,820
Illinois Finance Authority, 5.00% due 8/1/2022 (Bradley University; Insured: Syncora)	A/NR		1,000,000		1,012,680
Illinois Finance Authority, 6.125% due 11/1/2023 pre-refunded 11/1/2018 (Advocate Health Care Network)	AA+/Aa2		5,175,000		5,588,224
Illinois Finance Authority, 5.00% due 8/15/2024 (Silver Cross Hospital and Medical Centers)	NR/Baa1		1,000,000		1,138,840
Illinois Finance Authority, 5.00% due 11/15/2033 (Rush University Medical Center)	A+/A1		1,000,000		1,095,590
Illinois HFA, 5.70% due 2/20/2021 (Midwest Care Center I, Inc.; Collateralized: GNMA)	NR/Aa1		355,000		356,409
Illinois Toll Highway Authority, 5.00% due 1/1/2037 (Move Illinois Program)	AA-/Aa3		5,550,000		6,129,253
Metropolitan Pier & Exposition Authority, 5.00% due 12/15/2022 (McCormick Place Expansion Project)	BBB-/NR		1,000,000		1,092,320
Monroe and St. Clair Counties GO, 5.00% due 4/15/2027 (Community Unit School District No. 5; Insured: BAM)	AA/Aa3		325,000		379,002
Monroe and St. Clair Counties GO, 5.00% due 4/15/2028 (Community Unit School District No. 5; Insured: BAM)	AA/Aa3		1,415,000		1,635,839
Monroe and St. Clair Counties GO, 5.00% due 4/15/2029 (Community Unit School District No. 5; Insured: BAM)	AA/Aa3		1,630,000		1,872,495
Monroe and St. Clair Counties GO, 5.00% due 4/15/2030 (Community Unit School District No. 5; Insured: BAM)	AA/Aa3		1,800,000		2,053,188
Monroe and St. Clair Counties GO, 5.00% due 4/15/2031 (Community Unit School District No. 5; Insured: BAM)	AA/Aa3		1,115,000		1,262,091
Niles Park District GO, 3.00% due 12/1/2017 (Parks and Recreation Projects)	NR/Aa2		340,000		343,964
Niles Park District GO, 3.00% due 12/1/2018 (Parks and Recreation Projects)	NR/Aa2		350,000		358,915
Niles Park District GO, 3.00% due 12/1/2019 (Parks and Recreation Projects)	NR/Aa2		360,000		372,668
Niles Park District GO, 3.00% due 12/1/2020 (Parks and Recreation Projects)	NR/Aa2		370,000		385,052
State of Illinois, 5.00% due 6/15/2018	AAA/NR		2,000,000		2,093,080
Tazewell County School District GO, 9.00% due 12/1/2024 (Insured: Natl-Re)	NR/Aa3		1,205,000		1,716,137
Village of Tinley Park GO, 4.00% due 12/1/2021	AA+/NR		585,000		639,545
Village of Tinley Park GO, 5.00% due 12/1/2024	AA+/NR		870,000		1,005,703
INDIANA — 2.81%
Board of Trustees for the Vincennes University, 5.375% due 6/1/2022	NR/Aa3		895,000		1,008,128
City of Carmel Redevelopment Authority, 0% due 2/1/2021 (Performing Arts Center)	AA+/Aa3		2,000,000		1,850,280
City of Carmel Redevelopment District COP, 6.50% due 7/15/2035 pre-refunded 1/15/2021 (Performing Arts Center)	NR/NR		2,730,000		3,217,086
City of Petersburg, 5.40% due 8/1/2017 (Indianapolis Power and Light Company; Insured: Natl-Re/IBC)	AA-/A2		1,325,000		1,344,305
Clay Multi-School Building Corp., 5.00% due 1/15/2018 (State Aid Withholding)	AA+/NR		1,735,000		1,787,883
Franklin Township Multi-School Building Corp., 5.00% due 7/10/2017 (Franklin Central High School) (State Aid Withholding)	AA+/NR		630,000		637,201
Hobart Building Corp., 6.50% due 7/15/2019 (Insured: Natl-Re) (State Aid Withholding) (ETM)	AA+/A3		1,000,000		1,100,400
Indiana Bond Bank, 5.25% due 10/15/2020 (Natural Gas Utility Improvements)	NR/A3		5,340,000		5,963,018
Indiana Bond Bank, 5.25% due 4/1/2023 (Hendricks Regional Health Financing Program; Insured: AMBAC)	AA/NR		2,000,000		2,319,820
Indiana Finance Authority, 5.00% due 3/1/2019 (Indiana University Health)	AA-/Aa3		5,000,000		5,366,550
Indiana Finance Authority, 5.00% due 11/1/2021 (Sisters of St. Francis Health Services, Inc.)	NR/Aa3		605,000		641,106
Indiana Finance Authority, 5.25% due 9/15/2022 (Marian University)	BBB-/NR		2,480,000		2,663,917

Semi-Annual Report    11

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Indiana Finance Authority, 5.25% due 9/15/2023 (Marian University)	BBB-/NR	$	2,605,000	$	2,790,398
Indiana Finance Authority, 0.93% due 2/1/2037 put 4/3/2017 (Stadium Project; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AA+/Aa2		1,070,000		1,070,000
Indiana HFFA, 5.00% due 11/15/2034 (Ascension Health Credit Group)	NR/Aa2		1,325,000		1,487,498
Indiana HFFA, 5.00% due 11/15/2035 (Ascension Health Credit Group)	NR/Aa2		5,000,000		5,593,350
Indiana HFFA, 5.00% due 11/15/2036 (Ascension Health Credit Group)	NR/Aa2		2,000,000		2,232,580
IOWA — 0.31%
Iowa Finance Authority, 5.00% due 2/15/2030 (UnityPoint Health)	NR/Aa3		2,250,000		2,513,813
Iowa Finance Authority, 5.00% due 2/15/2032 (UnityPoint Health)	NR/Aa3		1,850,000		2,043,103
KANSAS — 0.04%
Kansas DFA, 5.00% due 6/1/2020 (Wichita State University)	NR/Aa3		575,000		636,117
KENTUCKY — 2.00%
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2020 (Project No. 112)	A/Aa3		4,385,000		4,904,798
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2021 (Project No. 112)	A/Aa3		5,990,000		6,828,420
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2022 (Project No. 112)	A/Aa3		6,960,000		8,041,027
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2023 (Project No. 112)	A/Aa3		2,440,000		2,850,530
Louisville/Jefferson County Metro Government, 5.25% due 10/1/2026 (Norton Suburban Hospital and Kosair Children’s Hospital)	A-/NR		2,320,000		2,664,567
b Louisville/Jefferson County Metropolitan Government, 1.50% due 10/1/2033 (Louisville Gas and Electric Company)	NR/NR		4,000,000		4,001,960
LOUISIANA — 2.39%
City of New Orleans, 6.00% due 6/1/2024 pre-refunded 6/1/2019 (Sewerage System; Insured: AGM)	AA/A3		750,000		828,142
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2030	AA-/Aa3		1,170,000		1,334,713
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2031	AA-/Aa3		2,655,000		3,011,248
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2032	AA-/Aa3		3,000,000		3,384,720
Law Enforcement District of the Parish of Plaquemines, 5.00% due 9/1/2023 pre-refunded 9/1/2019	A+/NR		1,230,000		1,342,520
Law Enforcement District of the Parish of Plaquemines, 5.00% due 9/1/2025 pre-refunded 9/1/2019	A+/NR		1,350,000		1,473,498
Law Enforcement District of the Parish of Plaquemines, 5.15% due 9/1/2027 pre-refunded 9/1/2019	A+/NR		1,490,000		1,631,610
Law Enforcement District of the Parish of Plaquemines, 5.30% due 9/1/2029 pre-refunded 9/1/2019	A+/NR		1,650,000		1,812,706
Louisiana Energy and Power Authority, 5.25% due 6/1/2029 (LEPA Unit No. 1; Insured: AGM)	AA/A2		1,000,000		1,137,290
Louisiana Energy and Power Authority, 5.25% due 6/1/2030 (LEPA Unit No. 1; Insured: AGM)	AA/A2		2,955,000		3,346,508
Louisiana Energy and Power Authority, 5.25% due 6/1/2031 (LEPA Unit No. 1; Insured: AGM)	AA/A2		2,145,000		2,422,520
Louisiana Public Facilities Authority, 5.00% due 7/1/2022 pre-refunded 7/1/2017 (Black & Gold Facilities; Insured: CIFG)	AA/A3		1,590,000		1,606,790
New Orleans Aviation Board, 5.25% due 1/1/2018 (Insured: AGM) (AMT)	AA/A2		1,000,000		1,030,210
New Orleans Aviation Board, 5.25% due 1/1/2020 (Insured: AGM)	AA/A2		2,000,000		2,058,280
New Orleans Regional Transit Authority, 5.00% due 12/1/2023 (Insured: AGM)	AA/Aa3		1,000,000		1,109,390
New Orleans Regional Transit Authority, 5.00% due 12/1/2024 (Insured: AGM)	AA/Aa3		1,000,000		1,098,080
Office Facilities Corp., 5.00% due 3/1/2019 (Louisiana State Capitol Complex Program)	A+/A1		390,000		417,074
Parish of Lafourche, 5.00% due 1/1/2024 (Roads, Highways and Bridges)	AA-/NR		1,065,000		1,230,107
Parish of Lafourche, 5.00% due 1/1/2025 (Roads, Highways and Bridges)	AA-/NR		2,620,000		3,042,711
Terrebonne Parish Hospital Service District 1, 5.00% due 4/1/2028 (General Medical Center)	A/A3		1,500,000		1,607,850
MARYLAND — 0.03%
County of Montgomery GO, 0.93% due 6/1/2026 put 4/3/2017 (Consolidated Public Improvements; SPA: Wells Fargo Bank, N.A.) (daily demand notes)	AAA/Aaa		500,000		500,000
MASSACHUSETTS — 2.00%
Massachusetts Bay Transportation Authority, 5.25% due 7/1/2030 (Transportation Capital Program)	AAA/Aa1		1,000,000		1,250,700
Massachusetts Development Finance Agency, 5.00% due 7/1/2019 (CareGroup Healthcare System)	A-/A3		2,800,000		3,017,896
Massachusetts Development Finance Agency, 5.00% due 7/1/2020 (CareGroup Healthcare System)	A-/A3		5,000,000		5,519,450
Massachusetts Development Finance Agency, 5.00% due 7/1/2021 (CareGroup Healthcare System)	A-/A3		2,330,000		2,625,537
Massachusetts Development Finance Agency, 5.50% due 10/1/2025 (Simmons College)	BBB+/Baa1		460,000		531,714
Massachusetts Development Finance Agency, 5.50% due 10/1/2028 (Simmons College)	BBB+/Baa1		1,330,000		1,522,917
Massachusetts Development Finance Agency, 5.00% due 7/1/2033 (CareGroup Healthcare System)	A-/A3		5,000,000		5,634,350
Massachusetts Development Finance Agency, 5.00% due 7/1/2034 (CareGroup Healthcare System)	A-/A3		2,320,000		2,604,548
Massachusetts Development Finance Agency, 5.00% due 7/1/2036 (CareGroup Healthcare System)	A-/A3		1,750,000		1,952,877
Massachusetts Educational Financing Authority, 5.50% due 1/1/2022 (Higher Education Student Loans)	AA/NR		1,130,000		1,225,474
Massachusetts Health & Educational Facilities Authority, 0.95% due 7/1/2044 put 4/3/2017 (Baystate Medical Center; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes)	AA+/Aa1		3,300,000		3,300,000
MICHIGAN — 4.42%
Board of Governors of Wayne State University, 5.00% due 11/15/2031 (Educational Facilities and Equipment)	A+/Aa3		1,010,000		1,144,481

12    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
City of Troy GO, 5.00% due 11/1/2025 (Downtown Development Authority-Community Center Facilities)		AAA/NR	$	300,000	$	341,946
County of Genesee, 5.00% due 11/1/2024 (Water Supply System; Insured: BAM)		AA/A2		610,000		688,446
County of Genesee, 5.00% due 11/1/2025 (Water Supply System; Insured: BAM)		AA/A2		345,000		389,781
County of Genesee, 5.25% due 11/1/2026 (Water Supply System; Insured: BAM)		AA/A2		900,000		1,022,607
County of Genesee, 5.25% due 11/1/2027 (Water Supply System; Insured: BAM)		AA/A2		1,375,000		1,555,744
County of Genesee, 5.25% due 11/1/2028 (Water Supply System; Insured: BAM)		AA/A2		645,000		726,722
County of Genesee, 5.00% due 11/1/2029 (Water Supply System; Insured: BAM)		AA/A2		1,210,000		1,338,768
County of Genesee, 5.00% due 11/1/2030 (Water Supply System; Insured: BAM)		AA/A2		1,195,000		1,319,507
County of Genesee, 5.125% due 11/1/2032 (Water Supply System; Insured: BAM)		AA/A2		750,000		828,562
Detroit City School District GO, 5.25% due 5/1/2026 (School Building & Site Improvement; Insured: AGM/Q-SBLF)		AA/Aa1		3,150,000		3,669,876
Detroit City School District GO, 5.25% due 5/1/2027 (School Building & Site Improvement; Insured: AGM/Q-SBLF)		AA/Aa1		1,100,000		1,290,619
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2019 (Bronson Healthcare; Insured: AGM)		AA/A2		2,000,000		2,088,980
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2022 pre-refunded 5/15/2020 (Bronson Healthcare; Insured: AGM)		NR/A2		1,365,000		1,515,382
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2022 (Bronson Healthcare; Insured: AGM)		NR/A2		1,105,000		1,209,920
Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2026 pre-refunded 5/15/2021 (Bronson Healthcare)		NR/NR		1,110,000		1,272,682
Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2026 (Bronson Healthcare)		NR/A2		175,000		194,509
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2029 (Bronson Healthcare)		NR/A2		2,150,000		2,404,882
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2030 (Bronson Healthcare)		NR/A2		3,810,000		4,231,691
Michigan Finance Authority, 5.00% due 4/1/2026 (Government Loan Program)		A+/NR		1,580,000		1,719,561
Michigan Finance Authority, 5.00% due 8/1/2031 (Beaumont Health Credit Group)		A/A1		19,080,000		21,189,676
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School)		NR/NR		910,000		941,941
Michigan State Hospital Finance Authority, 5.00% due 11/15/2024 pre-refunded 11/15/2017 (Edward W. Sparrow Hospital Association)		NR/NR		1,520,000		1,559,338
Michigan State Hospital Finance Authority, 5.00% due 11/15/2024 (Edward W. Sparrow Hospital Association)		A+/A1		620,000		632,381
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 pre-refunded 7/15/2017 (Oakwood Health System)		A/A1		3,000,000		3,036,540
Michigan State Hospital Finance Authority, 5.625% due 11/15/2029 pre-refunded 11/15/2019 (Henry Ford Health System)		A/A3		2,500,000		2,780,050
Michigan Strategic Fund, 5.25% due 10/15/2023 pre-refunded 10/15/2018 (Michigan House of Representatives Facilities; Insured: AGM)		AA/Aa2		1,000,000		1,064,410
Royal Oak Hospital Finance Authority, 8.00% due 9/1/2029 pre-refunded 9/1/2018 (William Beaumont Hospital)		NR/Aaa		2,540,000		2,786,761
State of Michigan, 5.50% due 11/1/2020 (Trunk Line Fund; Insured: AGM)		AA+/Aa2		1,500,000		1,712,850
MINNESOTA — 0.19%
Minnesota Agriculture & Economic Development Board, 5.50% due 2/15/2025 (Essentia Health; Insured: AGM)		AA/NR		2,500,000		2,740,625
MISSISSIPPI — 0.62%
Mississippi Development Bank, 5.00% due 7/1/2022 pre-refunded 7/1/2017 (City of Canton Parking Facilities)		NR/NR		1,935,000		1,955,182
Mississippi Development Bank, 5.25% due 8/1/2027 pre-refunded 8/1/2020 (Department of Corrections)		AA-/NR		3,415,000		3,848,603
Mississippi Development Bank GO, 5.00% due 3/1/2025 (Capital City Convention Center)		A+/Baa2		2,850,000		3,267,069
MISSOURI — 1.62%
Missouri Development Finance Board, 5.00% due 4/1/2019 (Eastland Center)		A-/NR		1,000,000		1,003,290
Missouri Development Finance Board, 5.00% due 4/1/2021 (Eastland Center)		A-/NR		2,000,000		2,006,580
Missouri Development Finance Board, 5.125% due 4/1/2022 (Eastland Center)		A-/NR		2,000,000		2,067,740
Missouri Development Finance Board, 0.95% due 12/1/2033 put 4/3/2017 (The Nelson Gallery Foundation; SPA: Northern Trust Co.) (daily demand notes)		AAA/Aaa		1,200,000		1,200,000
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2019 (Webster University)		NR/A2		2,235,000		2,392,232
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2021 (Webster University)		NR/A2		2,520,000		2,807,709
Missouri Health and Educational Facilities Authority, 0.90% due 9/1/2030 put 4/3/2017 (Washington University; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)		AAA/Aaa		4,600,000		4,600,000
Missouri Health and Educational Facilities Authority, 5.00% due 11/15/2034 (Saint Luke’s Health System)		A+/A1		3,300,000		3,675,408
Missouri Health and Educational Facilities Authority, 5.00% due 11/15/2035 (Saint Luke’s Health System)		A+/A1		1,000,000		1,109,640
Tax Increment Financing Commission of Kansas City, 5.25% due 3/1/2018 (Maincor Public Improvements) (ETM)		NR/NR		335,000		346,172
Tax Increment Financing Commission of Kansas City, 5.00% due 5/1/2022 (Union Hill Redevelopment Project)		NR/NR		2,495,000		2,560,718
NEVADA — 0.87%
Carson City, 5.00% due 9/1/2027 (Carson Tahoe Regional Medical Center)		BBB+/NR		2,450,000		2,678,266
Washoe County GO, 5.00% due 7/1/2026 (Reno Sparks Convention & Visitors Authority)		AA/Aa2		5,000,000		5,649,500
Washoe County GO, 5.00% due 7/1/2029 (Reno Sparks Convention & Visitors Authority)		AA/Aa2		2,000,000		2,253,680
Washoe County GO, 5.00% due 7/1/2032 (Reno Sparks Convention & Visitors Authority)		AA/Aa2		2,000,000		2,213,560
NEW HAMPSHIRE — 0.53%
New Hampshire Health and Education Facilities Authority, 5.25% due 10/1/2023 pre-refunded 10/1/2017 (Southern New Hampshire Medical Center)		NR/NR		770,000		787,417
New Hampshire Health and Education Facilities Authority, 5.25% due 10/1/2023 (Southern New Hampshire Medical Center)		A-/NR		230,000		234,474
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2026		AA+/Aa2		1,860,000		2,173,633

Semi-Annual Report    13

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
State of New Hampshire, 5.00% due 2/1/2022 (Turnpike System)	A+/A1	$	2,250,000	$	2,573,347
State of New Hampshire, 5.00% due 2/1/2024 (Turnpike System)	A+/A1		1,755,000		1,990,293
NEW JERSEY — 3.60%
Burlington County Bridge Commission, 4.00% due 12/1/2017 (County Governmental Loan Program)	AA/Aa2		850,000		867,442
Cape May County Industrial Pollution Control Financing Authority, 6.80% due 3/1/2021 (Atlantic City Electric Company; Insured: Natl-Re)	AA-/A3		560,000		647,646
Essex County Improvement Authority, 5.50% due 10/1/2024 (County Correctional Facilities & Gibraltar Facilities; Insured: Natl-Re)	NR/Aa2		2,500,000		3,052,525
New Jersey EDA, 5.00% due 3/1/2026 (School Facilities Construction)	BBB+/Baa1		2,000,000		2,072,400
New Jersey EDA, 5.50% due 9/1/2026 (School Facilities Construction; Insured: AMBAC)	BBB+/Baa1		3,000,000		3,350,100
New Jersey EDA, 5.50% due 9/1/2027 (School Facilities Construction; Insured: Natl-Re)	AA-/A3		1,700,000		1,972,561
New Jersey EDA, 5.00% due 6/15/2029 (School Facilities Construction)	BBB+/Baa1		12,890,000		13,151,925
New Jersey State Health Care Facilities Financing Authority, 5.00% due 7/1/2027 (Virtua Health)	AA-/NR		2,000,000		2,279,400
New Jersey State Health Care Facilities Financing Authority, 5.00% due 7/1/2028 (Virtua Health)	AA-/NR		1,000,000		1,129,820
New Jersey Transportation Trust Fund Authority, 5.50% due 12/15/2020 (State Transportation System Improvements; Insured: Natl-Re)	AA-/A3		3,185,000		3,520,763
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2023 (State Transportation System Improvements)	A+/Baa1		1,000,000		1,034,190
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2023 (State Transportation System Improvements)	A+/Baa1		1,500,000		1,617,120
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2024 (State Transportation System Improvements)	A+/Baa1		1,000,000		1,030,560
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2024 (State Transportation System Improvements)	A+/Baa1		1,000,000		1,079,240
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2027 (State Transportation System Improvements)	A+/Baa1		9,750,000		10,441,957
New Jersey Transportation Trust Fund Authority, 1.99% due 6/15/2034 (State Transportation System Improvements)	BBB+/Baa1		2,000,000		1,944,760
Passaic Valley Sewage Commissioners GO, 5.75% due 12/1/2022	NR/A3		3,000,000		3,489,510
NEW MEXICO — 0.53%
City of Farmington, 4.70% due 9/1/2024 (Arizona Public Service Co.-Four Corners Project)	A-/A2		3,000,000		3,218,760
City of Las Cruces, 5.00% due 6/1/2030 (NMFA Loan)	NR/Aa3		2,040,000		2,237,697
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2032 (Haverland Carter Lifestyle Group)	NR/NR		2,130,000		2,218,565
NEW YORK — 9.68%
City of New York GO, 5.00% due 8/1/2027 (City Budget Financial Management)	AA/Aa2		4,530,000		5,260,372
City of New York GO, 5.00% due 8/1/2030 (City Budget Financial Management)	AA/Aa2		5,000,000		5,792,100
City of New York GO, 5.00% due 8/1/2031 (City Budget Financial Management)	AA/Aa2		4,000,000		4,602,480
City of New York GO, 0.91% due 8/1/2035 put 4/3/2017 (Capital Projects) (daily demand notes)	AA/Aa2		2,210,000		2,210,000
City of New York GO, 0.95% due 1/1/2036 put 4/3/2017 (Gowanus Canal Site; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AA/Aa2		13,400,000		13,400,000
County of Nassau GO, 5.00% due 4/1/2026 (Insured: BAM)	AA/NR		1,300,000		1,487,850
Erie County Industrial Development Agency, 5.00% due 5/1/2019 (City of Buffalo School District) (State Aid Withholding) (ETM)	NR/NR		1,190,000		1,285,664
Erie County Industrial Development Agency, 5.00% due 5/1/2019 (City of Buffalo School District) (State Aid Withholding)	AA/Aa2		1,810,000		1,956,157
Erie County Industrial Development Agency, 5.00% due 5/1/2027 (City of Buffalo School District) (State Aid Withholding)	AA/Aa2		5,000,000		5,801,300
Lake Placid Central School District GO, 5.00% due 6/15/2017 (Educational Facilities; Insured: Natl-Re) (State Aid Withholding)	NR/Aa3		305,000		307,541
Metropolitan Transportation Authority, 5.00% due 11/15/2024 (Transit and Commuter System)	AA-/A1		5,435,000		6,453,410
Metropolitan Transportation Authority, 5.00% due 11/15/2025	AA-/A1		10,000,000		11,947,400
New York City Municipal Water Finance Authority, 0.90% due 6/15/2035 put 4/3/2017 (Water & Sewer System; LOC: Citibank, N.A.) (daily demand notes)	AAA/Aa1		1,800,000		1,800,000
New York City Municipal Water Finance Authority, 0.95% due 6/15/2043 put 4/3/2017 (Water and Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AA+/Aa1		8,100,000		8,100,000
New York City Municipal Water Finance Authority, 0.91% due 6/15/2044 put 4/3/2017 (Water & Sewer System; SPA: Mizuho Bank, Ltd.) (daily demand notes)	AAA/Aa1		3,000,000		3,000,000
New York City Municipal Water Finance Authority, 0.93% due 6/15/2048 put 4/3/2017 (Water & Sewer System; SPA: Mizuho Bank, Ltd.) (daily demand notes)	AA+/Aa1		1,600,000		1,600,000
New York City Municipal Water Finance Authority, 0.95% due 6/15/2050 put 4/3/2017 (Water & Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AA+/Aa1		19,000,000		19,000,000
New York City Transitional Finance Authority, 0.96% due 8/1/2031 put 4/3/2017 (City Capital Projects; SPA: Landesbank Hessen-Thuringen) (daily demand notes)	AAA/Aaa		26,250,000		26,250,000
New York City Transitional Finance Authority, 0.90% due 8/1/2039 put 4/3/2017 (City Capital Projects; SPA: U.S. Bank, N.A.) (daily demand notes)	AAA/Aa1		3,200,000		3,200,000
New York City Transitional Finance Authority, 0.91% due 11/1/2042 put 4/3/2017 (City Capital Projects; SPA: Barclays Bank plc) (daily demand notes)	AAA/Aa1		1,200,000		1,200,000
New York State Dormitory Authority, 5.00% due 7/1/2017 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA)	NR/Aa1		850,000		852,941
New York State Dormitory Authority, 5.25% due 5/15/2021 (State University Educational Facilities)	AA/Aa2		500,000		563,790
New York State Dormitory Authority, 5.00% due 7/1/2023 (Miriam Osborn Memorial Home Assoc.)	NR/NR		2,180,000		2,300,423
New York State Dormitory Authority, 5.00% due 12/15/2027 (Metropolitan Transportation Authority & State Urban Development Corp.)	AAA/Aa1		2,500,000		2,888,725

14    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
New York State Thruway Authority, 5.00% due 1/1/2030 (Multi-Year Highway and Bridge Capital Program)	A/A2	$	7,480,000	$	8,574,100
United Nations Development Corp., 5.00% due 7/1/2025 (One, Two and Three U.N. Plaza)	NR/A1		1,700,000		1,835,048
NORTH CAROLINA — 0.44%
Charlotte-Mecklenburg Hospital Authority, 3.00% due 1/15/2018 (Carolinas HealthCare System)	AA-/Aa3		600,000		609,516
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2028 (Carolinas HealthCare System)	AA-/Aa3		2,190,000		2,502,185
North Carolina Medical Care Commission, 5.00% due 6/1/2030 (Vidant Health)	A+/A1		3,000,000		3,381,060
NORTH DAKOTA — 0.07%
County of Ward, 5.125% due 7/1/2021 (Trinity Health System)	BBB-/NR		1,000,000		1,003,200
OHIO — 4.97%
Akron, Bath and Copley Joint Township Hospital District, 5.00% due 11/15/2024 (Children’s Hospital Medical Center of Akron)	NR/A1		1,000,000		1,128,450
American Municipal Power, Inc., 5.25% due 2/15/2028 (AMP Fremont Energy Center)	A/A1		4,000,000		4,523,840
Cincinnati City School District COP, 5.00% due 12/15/2031 (School Improvement Project)	A+/Aa3		3,075,000		3,436,835
City of Cleveland, 3.00% due 10/1/2017 (Parks and Recreation Facilities)	AA/A1		490,000		495,170
City of Cleveland, 5.00% due 11/15/2027 (Public Facilities Improvements)	AA/A1		1,285,000		1,500,289
City of Cleveland, 5.00% due 10/1/2028 (Bridges and Roadways)	AA/A1		2,420,000		2,811,604
City of Cleveland, 5.00% due 11/15/2028 (Public Facilities Improvements)	AA/A1		1,000,000		1,164,120
City of Cleveland, 5.00% due 10/1/2029 (Bridges and Roadways)	AA/A1		100,000		115,725
City of Cleveland, 5.00% due 11/15/2029 (Public Facilities Improvements)	AA/A1		1,415,000		1,640,636
City of Cleveland, 5.00% due 11/15/2030 (Public Facilities Improvements)	AA/A1		1,485,000		1,712,205
City of Cleveland GO, 5.00% due 12/1/2024 (Various Municipal Capital Improvements)	AA/A1		1,000,000		1,172,020
City of Cleveland GO, 5.00% due 12/1/2026 (Various Municipal Capital Improvements)	AA/A1		1,230,000		1,442,077
Cleveland-Cuyahoga County Port Authority, 5.00% due 10/1/2021 (Cleveland Museum of Art)	AA+/NR		2,040,000		2,280,332
Cleveland-Cuyahoga County Port Authority, 5.00% due 7/1/2025 (County Administration Offices)	AA-/Aa2		1,780,000		2,092,443
County of Allen, 5.00% due 5/1/2025 (Catholic Health Partners-Mercy Health West Facility)	A+/A2		4,470,000		5,017,754
County of Allen, 5.00% due 5/1/2026 (Catholic Health Partners-Mercy Health West Facility)	A+/A2		3,855,000		4,307,153
County of Cuyahoga COP, 5.00% due 12/1/2026 (Convention Center Hotel)	AA-/Aa3		2,910,000		3,340,273
County of Hamilton, 5.00% due 12/1/2018	AA-/A1		1,000,000		1,065,360
County of Hamilton, 5.00% due 12/1/2021	AA-/A1		1,100,000		1,264,197
County of Hamilton, 5.00% due 12/1/2023	AA-/A1		1,000,000		1,181,660
County of Hamilton, 5.00% due 5/15/2028 (Cincinnati Children’s Hospital Medical Center)	AA/Aa2		2,665,000		3,100,701
County of Hamilton, 5.00% due 5/15/2029 (Cincinnati Children’s Hospital Medical Center)	AA/Aa2		1,000,000		1,158,920
County of Hamilton, 5.00% due 5/15/2031 (Cincinnati Children’s Hospital Medical Center)	AA/Aa2		4,420,000		5,074,558
County of Montgomery, 0.90% due 11/15/2045 put 4/3/2017 (Premier Health Partners; LOC: Barclays Bank plc) (daily demand notes)	NR/Aa2		14,000,000		14,000,000
County of Scioto, 5.00% due 2/15/2030 (Southern Ohio Medical Center)	NR/A2		1,690,000		1,932,768
County of Scioto, 5.00% due 2/15/2032 (Southern Ohio Medical Center)	NR/A2		925,000		1,045,065
County of Scioto, 5.00% due 2/15/2033 (Southern Ohio Medical Center)	NR/A2		1,000,000		1,124,880
Deerfield Township, 5.00% due 12/1/2025 (Public Street Improvements-Wilkens Blvd.)	NR/A1		1,000,000		1,022,710
Lucas County Health Care Facility, 5.00% due 8/15/2021 (Sunset Retirement Community)	NR/NR		1,190,000		1,242,967
Lucas County Health Care Facility, 5.125% due 8/15/2025 (Sunset Retirement Community)	NR/NR		1,250,000		1,375,150
OKLAHOMA — 0.50%
Oklahoma DFA, 5.00% due 8/15/2026 (INTEGRIS Health)	AA-/Aa3		1,000,000		1,176,230
Oklahoma DFA, 5.00% due 8/15/2027 (INTEGRIS Health)	AA-/Aa3		1,000,000		1,166,620
Oklahoma Industries Authority, 5.50% due 7/1/2023 pre-refunded 7/1/2018 (Oklahoma Medical Research Foundation)	NR/A2		3,730,000		3,937,910
Oklahoma Municipal Power Authority, 5.00% due 1/1/2018 (Power Supply System Capital Projects; Insured: AGM)	AA/A2		1,000,000		1,030,030
OREGON — 1.37%
State of Oregon GO, 2.00% due 6/30/2017 (Cash Management)	SP-1+/Mig1		20,000,000		20,061,200
PENNSYLVANIA — 6.67%
Allegheny County Hospital Development Authority, 5.00% due 5/15/2019 (University of Pittsburgh Medical Center)	A+/Aa3		2,500,000		2,699,300
Allegheny County IDA, 5.90% due 8/15/2026 (Propel Charter School-McKeesport)	BBB-/NR		905,000		949,255
Allegheny County IDA, 6.375% due 8/15/2035 (Propel Charter School-McKeesport)	BBB-/NR		1,130,000		1,195,721
Bethlehem Area School District GO, 5.00% due 10/15/2020 pre-refunded 04/15/2019 (Northampton and Lehigh Counties District; Insured: AGM) (State Aid Withholding)	AA/NR		95,000		102,429
Bethlehem Area School District GO, 5.00% due 10/15/2020 (Northampton and Lehigh Counties District; Insured: AGM) (State Aid Withholding)	AA/NR		380,000		403,678
City of Philadelphia, 5.00% due 10/1/2029 (Water and Wastewater System)	A+/A1		1,100,000		1,270,599
City of Philadelphia, 5.00% due 10/1/2030 (Water and Wastewater System)	A+/A1		2,410,000		2,766,150
City of Philadelphia, 5.00% due 8/1/2032 (Pennsylvania Gas Works)	A/Baa1		1,000,000		1,100,730

Semi-Annual Report    15

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
City of Philadelphia, 5.00% due 8/1/2033 (Pennsylvania Gas Works)	A/Baa1	$	800,000	$	876,360
City of Philadelphia, 5.00% due 8/1/2034 (Pennsylvania Gas Works)	A/Baa1		500,000		545,475
Commonwealth of Pennsylvania GO, 5.00% due 3/15/2022 (Capital Facilities Projects)	AA-/Aa3		12,485,000		14,265,111
County of Luzerne GO, 5.00% due 11/15/2029 (Insured: AGM)	AA/NR		3,000,000		3,301,560
Dallastown Area School District GO, 4.00% due 5/1/2021 (State Aid Withholding)	AA/NR		460,000		504,427
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.95% due 7/1/2041 put 4/3/2017 (The Children’s Hospital of Philadelphia; SPA: Wells Fargo Bank, N.A.) (daily demand notes)	AA/Aa2		6,485,000		6,485,000
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.95% due 7/1/2041 put 4/3/2017 (The Children’s Hospital of Philadelphia; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AA/Aa2		5,610,000		5,610,000
Lancaster County Solid Waste Management Authority, 5.25% due 12/15/2030 (Acquisition of Susquehanna Resource Management Facility)	AA-/NR		3,000,000		3,389,790
Lehigh County IDA, 0.90% due 2/15/2027 put 8/15/2017 (PPL Electric Utilities Corp.)	A/A1		3,250,000		3,249,643
Monroeville Financing Authority, 5.00% due 2/15/2026 (University of Pittsburgh Medical Center)	A+/Aa3		3,490,000		4,152,821
Pennsylvania Economic DFA, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT)	BBB-/Ba1		4,755,000		4,789,236
Pennsylvania Higher Education Facilities Authority, 0% due 7/1/2020 (Insured: AMBAC)	NR/NR		2,032,839		1,605,516
Pennsylvania State Public School Building Authority GO, 5.00% due 6/1/2027 (Philadelphia School District; Insured: AGM) (State Aid Withholding)	AA/A2		5,000,000		5,582,750
Pennsylvania Turnpike Commission, 5.35% due 12/1/2030 pre-refunded 12/1/2020 (Highway Improvements)	NR/NR		1,390,000		1,587,769
Pennsylvania Turnpike Commission, 5.35% due 12/1/2030 (Highway Improvements)	A-/A3		2,610,000		2,880,057
Philadelphia Authority for Industrial Development, 5.00% due 9/1/2032 (Thomas Jefferson University)	A+/A2		3,685,000		4,121,709
Philadelphia Authority for Industrial Development, 5.00% due 9/1/2034 (Thomas Jefferson University)	A+/A2		2,000,000		2,215,880
Pittsburgh Water & Sewer Authority, 5.00% due 9/1/2030 (Water and Sewer System; Insured: AGM)	A/A2		5,000,000		5,625,150
Pittsburgh Water & Sewer Authority, 5.00% due 9/1/2031 (Water and Sewer System; Insured: AGM)	A/A2		3,740,000		4,189,772
Pittsburgh Water & Sewer Authority, 5.00% due 9/1/2031 (Water and Sewer System; Insured: AGM)	A/A2		3,665,000		4,105,753
Plum Borough School District GO, 4.00% due 9/15/2017 (Insured: BAM) (State Aid Withholding)	AA/NR		365,000		369,873
Plum Borough School District GO, 4.00% due 9/15/2018 (Insured: BAM) (State Aid Withholding)	AA/NR		355,000		369,040
Plum Borough School District GO, 4.00% due 9/15/2020 (Insured: BAM) (State Aid Withholding)	AA/NR		405,000		436,367
Plum Borough School District GO, 4.00% due 9/15/2020 (Insured: BAM) (State Aid Withholding)	AA/NR		385,000		414,818
Plum Borough School District GO, 4.00% due 9/15/2021 (Insured: BAM) (State Aid Withholding)	AA/NR		425,000		463,416
Plum Borough School District GO, 5.00% due 9/15/2021 (Insured: BAM) (State Aid Withholding)	AA/NR		430,000		487,164
School District of Philadelphia GO, 5.00% due 9/1/2018 (School Reform Commission) (State Aid Withholding)	NR/A2		5,250,000		5,466,037
RHODE ISLAND — 0.34%
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2024 (Training School Project)	AA-/Aa3		3,595,000		4,159,703
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2023 (Consolidated Capital Development Loan)	AA/Aa2		800,000		875,904
SOUTH CAROLINA — 0.52%
City of Myrtle Beach, 5.00% due 6/1/2028 (Municipal Sports Complex)	AA-/A1		1,000,000		1,130,200
City of Myrtle Beach, 5.00% due 6/1/2030 (Municipal Sports Complex)	AA-/A1		1,000,000		1,117,250
Greenwood Fifty School Facilities, Inc., 5.00% due 12/1/2025 pre-refunded 12/1/2017 (School District No. 50; Insured: AGM)	AA/A1		2,400,000		2,466,264
Sumter Two School Facilities, Inc., 5.00% due 12/1/2021 pre-refunded 12/1/2017 (School District No. 2; Insured: AGM)	AA/A3		2,855,000		2,934,597
SOUTH DAKOTA — 0.39%
South Dakota Health and Educational Facilities Authority, 5.00% due 7/1/2023 (Avera Health)	AA-/A1		1,575,000		1,772,741
South Dakota Health and Educational Facilities Authority, 5.00% due 11/1/2024 (Sanford Health)	A+/A1		1,700,000		1,831,750
South Dakota Health and Educational Facilities Authority, 5.00% due 11/1/2028 (Sanford Health)	A+/A1		800,000		920,256
South Dakota Health and Educational Facilities Authority, 5.00% due 11/1/2029 (Sanford Health)	A+/A1		1,000,000		1,139,090
TENNESSEE — 0.74%
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2023 (The Gas Project)	BBB+/A3		2,500,000		2,795,450
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2023 (The Gas Project)	BBB+/A3		7,000,000		8,005,130
TEXAS — 11.97%
Austin Community College District, 5.50% due 8/1/2023 pre-refunded 8/1/2018 (Round Rock Campus)	AA/Aa2		2,180,000		2,310,713
Bexar County Health Facilities Development Corp., 5.00% due 7/1/2027 pre-refunded 7/1/2017 (Army Retirement Residence)	NR/NR		260,000		262,746
Bexar County Health Facilities Development Corp., 5.00% due 7/1/2027 (Army Retirement Residence)	BBB/NR		1,270,000		1,276,236
City of Austin (Travis, Williamson and Hays Counties), 5.00% due 11/15/2033 (Water and Wastewater System)	AA/Aa2		4,000,000		4,642,440
City of Austin (Travis, Williamson and Hays Counties), 5.00% due 11/15/2035 (Water and Wastewater System)	AA/Aa2		8,185,000		9,418,561
City of Austin (Travis, Williamson and Hays Counties), 5.00% due 11/15/2036 (Water and Wastewater System)	AA/Aa2		6,985,000		8,018,990
City of Brownsville, 5.00% due 9/1/2017 (Water, Wastewater & Electric Utilities Systems)	A+/A2		500,000		508,570
City of Brownsville, 5.00% due 9/1/2020 (Water, Wastewater & Electric Utilities Systems)	A+/A2		1,000,000		1,113,650
City of Dallas GO, 5.00% due 2/15/2025 (Public Improvements)	AA-/NR		1,000,000		1,157,310
City of Dallas GO, 5.00% due 2/15/2028 (Trinity River Corridor Infrastructure)	AA-/A1		1,000,000		1,111,040
City of Dallas GO, 5.00% due 2/15/2028 (Public Improvements)	AA-/NR		3,635,000		4,090,393
City of Dallas GO, 5.00% due 2/15/2030 (Public Improvements)	AA-/NR		3,585,000		3,975,514

16    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
City of Dallas GO, 5.00% due 2/15/2034 (Public Improvements)	AA-/NR	$	1,500,000	$	1,628,850
City of Galveston, 5.00% due 9/1/2021 (Galveston Island Convention Center; Insured: AGM)	NR/A2		545,000		609,277
City of Galveston, 5.00% due 9/1/2024 (Galveston Island Convention Center; Insured: AGM)	NR/A2		1,115,000		1,276,017
City of Houston, 5.00% due 9/1/2032 (Convention & Entertainment Facilities)	A-/A2		3,560,000		3,989,977
City of Houston GO, 5.00% due 3/1/2020 (Public Improvements)	AA/Aa3		5,000,000		5,520,700
City of Houston GO, 5.00% due 3/1/2021 (Public Improvements)	AA/Aa3		5,000,000		5,657,150
City of Houston GO, 5.00% due 3/1/2023 (Public Improvements)	AA/Aa3		5,000,000		5,829,650
City of Houston GO, 5.00% due 3/1/2027 (Public Improvements)	AA/Aa3		1,175,000		1,383,656
City of McAllen, 5.00% due 3/1/2028 (International Toll Bridge; Insured: AGM)	AA/NR		1,390,000		1,615,708
City of McAllen, 5.00% due 3/1/2029 (International Toll Bridge; Insured: AGM)	AA/NR		590,000		681,639
City of McAllen, 5.00% due 3/1/2030 (International Toll Bridge; Insured: AGM)	AA/NR		1,530,000		1,754,497
City of McAllen, 5.00% due 3/1/2031 (International Toll Bridge; Insured: AGM)	AA/NR		1,610,000		1,833,226
City of McAllen, 5.00% due 3/1/2032 (International Toll Bridge; Insured: AGM)	AA/NR		1,000,000		1,132,020
City of Pharr Higher Education Finance Authority, 5.75% due 8/15/2024 (IDEA Public Schools)	BBB/NR		5,050,000		5,364,312
City of San Antonio, 5.00% due 7/1/2024 (Airport System Capital Improvements) (AMT)	A/A2		2,065,000		2,288,495
City of San Antonio, 5.00% due 7/1/2025 (Airport System Capital Improvements) (AMT)	A/A2		1,160,000		1,276,615
City of San Antonio, 2.25% due 2/1/2033 (Electric and Gas Systems)	AA-/NR		4,655,000		4,749,310
City of San Antonio, 5.00% due 5/15/2033 (Water System)	AA/Aa2		1,500,000		1,730,055
City of San Antonio, 5.00% due 5/15/2034 (Water System)	AA/Aa2		1,575,000		1,808,446
City of San Antonio, 3.00% due 12/1/2045 put 12/1/2019 (Electric and Gas Systems)	AA-/Aa2		5,200,000		5,382,156
City of Texas City Industrial Development Corp., 7.375% due 10/1/2020 (ARCO Pipe Line Co. Project)	A-/A2		2,705,000		3,187,058
Dallas Area Rapid Transit, 5.00% due 12/1/2034	AA+/Aa2		5,475,000		6,273,529
Dallas Area Rapid Transit, 5.00% due 12/1/2035	AA+/Aa2		4,000,000		4,567,040
Dallas Area Rapid Transit, 5.00% due 12/1/2036	AA+/Aa2		3,000,000		3,417,960
Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2027	A/A2		1,905,000		2,240,890
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2028 (Memorial Hermann Health System)	A+/A1		3,000,000		3,449,070
Harris County Cultural Education Facilities Finance Corp., 0.95% due 9/1/2031 put 4/3/2017 (Texas Medical Center; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes)	AA+/Aa1		2,850,000		2,850,000
Houston Higher Education Finance Corp., 6.50% due 5/15/2031 pre-refunded 5/15/2021 (Cosmos Foundation, Inc.)	NR/NR		415,000		497,556
Houston Higher Education Finance Corp., 6.50% due 5/15/2031 (Cosmos Foundation, Inc.)	BBB/NR		360,000		411,203
Katy ISD GO, 5.00% due 2/15/2034 (Educational Facilities Improvements; Guaranty: PSF)	AAA/Aaa		7,560,000		8,697,326
Kimble County Hospital District GO, 5.00% due 8/15/2017 (Medical Facilities Improvements) (ETM)	NR/NR		510,000		518,063
Kimble County Hospital District GO, 5.00% due 8/15/2018 (Medical Facilities Improvements) (ETM)	NR/NR		525,000		553,786
La Vernia Higher Education Finance Corp., 5.75% due 8/15/2024 pre-refunded 8/15/2019 (Kipp, Inc.)	BBB/NR		3,000,000		3,312,870
Lower Colorado River Authority, 5.00% due 5/15/2026 pre-refunded 5/15/2022	NR/NR		55,000		63,880
Lower Colorado River Authority, 5.00% due 5/15/2026	A/A2		9,415,000		10,672,562
North Central Texas Health Facilities Development Corp., 5.00% due 8/15/2019 (Children’s Medical Center of Dallas)	NR/Aa2		270,000		292,353
North Texas Tollway Authority, 5.00% due 9/1/2017 (Special Projects System)	AA+/NR		450,000		457,830
North Texas Tollway Authority, 5.00% due 1/1/2020 (NTTA System)	A/A1		2,000,000		2,194,660
Round Rock ISD GO, 5.00% due 8/1/2028 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		2,840,000		3,360,458
Round Rock ISD GO, 5.00% due 8/1/2029 (Educational Facilities Improvements; Guaranty: PSF)	NR/Aaa		2,980,000		3,501,679
San Juan Higher Education Finance Authority, 5.75% due 8/15/2024 (IDEA Public Schools)	BBB/NR		1,590,000		1,725,993
Tarrant Regional Water District, 5.00% due 3/1/2028 (Water Control and Improvement)	AAA/NR		2,000,000		2,378,040
Tarrant Regional Water District, 5.00% due 3/1/2029 (Water Control and Improvement)	AAA/NR		1,650,000		1,947,528
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2023 pre-refunded 8/15/2017 (IDEA Public Schools; Insured: ACA)	BBB/NR		3,000,000		3,047,070
Texas Public Finance Authority Charter School Finance Corp., 6.00% due 2/15/2030 pre-refunded 2/15/2020 (Cosmos Foundation, Inc.)	BBB/NR		1,750,000		1,973,842
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 pre-refunded 8/15/2017 (IDEA Public Schools; Insured: ACA)	BBB/NR		2,000,000		2,031,380
Texas Transportation Commission, 5.00% due 8/15/2024 (Central Texas Turnpike System)	BBB+/Baa1		1,500,000		1,718,160
Texas Transportation Commission, 5.00% due 8/15/2025 (Central Texas Turnpike System)	BBB+/Baa1		750,000		852,128
Texas Transportation Commission GO, 5.00% due 4/1/2022 (Highway Improvements)	AAA/Aaa		1,000,000		1,161,080
Texas Transportation Commission GO, 5.00% due 4/1/2023 (Highway Improvements)	AAA/Aaa		1,000,000		1,179,840
Texas Transportation Commission GO, 5.00% due 4/1/2024 (Highway Improvements)	AAA/Aaa		1,000,000		1,192,720
Trinity River Authority, 5.00% due 2/1/2025 (Red Oak Creek System)	AA-/NR		625,000		741,450
Uptown Development Authority, 5.50% due 9/1/2029 pre-refunded 9/1/2019 (Infrastructure Improvements)	BBB/NR		1,250,000		1,377,312
U.S. VIRGIN ISLANDS — 0.28%
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029	NR/Caa2		5,000,000		4,137,500
UTAH — 0.09%
Local Building Authority of Salt Lake Valley Fire Service Area, 5.25% due 4/1/2020 pre-refunded 4/1/2018	NR/Aa2		1,250,000		1,303,950

Semi-Annual Report    17

Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
VIRGINIA — 0.47%
County of Hanover IDA, 6.00% due 10/1/2021 (FirstHealth Richmond Memorial Hospital) (ETM)		AA-/NR	$	590,000	$	630,610
Virginia Housing Development Authority GO, 4.85% due 4/1/2019 (Multi-Family Housing Development) (AMT)		AAA/Aaa		3,100,000		3,124,738
Virginia Housing Development Authority GO, 4.85% due 10/1/2019 (Multi-Family Housing Development) (AMT)		AAA/Aaa		3,100,000		3,119,995
WASHINGTON — 2.94%
City of Seattle, 5.00% due 2/1/2019 (Light and Power Improvements)		AA/Aa2		3,000,000		3,214,650
King County Public Hospital District No. 2 GO, 5.00% due 12/1/2028 (EvergreenHealth Medical Center)		NR/Aa3		1,015,000		1,168,448
King County Public Hospital District No. 2 GO, 5.00% due 12/1/2029 (EvergreenHealth Medical Center)		NR/Aa3		2,930,000		3,347,056
King County Public Hospital District No. 2 GO, 5.00% due 12/1/2030 (EvergreenHealth Medical Center)		NR/Aa3		600,000		682,134
King County Public Hospital District No. 2 GO, 5.00% due 12/1/2031 (EvergreenHealth Medical Center)		NR/Aa3		2,040,000		2,305,567
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2025 (Skagit Regional Health)		NR/A1		4,860,000		5,594,638
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2028 (Skagit Regional Health)		NR/A1		3,000,000		3,425,370
Skagit County Public Hospital District No. 2 GO, 5.00% due 12/1/2027 (Island Hospital)		NR/A1		2,445,000		2,720,331
Skagit County Public Hospital District No. 2 GO, 5.00% due 12/1/2028 (Island Hospital)		NR/A1		2,195,000		2,432,367
State of Washington COP, 5.00% due 7/1/2030 (Acquisition and Improvements of Real and Personal Property)		NR/Aa2		4,415,000		5,197,559
State of Washington COP, 5.00% due 7/1/2031 (Acquisition and Improvements of Real and Personal Property)		NR/Aa2		4,635,000		5,420,818
Tacoma School District No.10 GO, 5.00% due 12/1/2019 (Pierce County Capital Projects)		AA+/Aa1		1,000,000		1,100,340
Tacoma School District No.10 GO, 5.00% due 12/1/2020 (Pierce County Capital Projects)		AA+/Aa1		1,000,000		1,128,840
Washington Health Care Facilities Authority, 5.25% due 8/15/2024 pre-refunded 8/15/2018 (MultiCare Systems; Insured: AGM)		AA/Aa3		1,000,000		1,056,850
Washington Health Care Facilities Authority, 6.25% due 8/1/2028 pre-refunded 8/1/2018 (Highline Medical Centers; Insured: FHA 242)		NR/NR		3,985,000		4,258,212
WISCONSIN — 2.37%
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2021 (Agnesian Healthcare, Inc.)		A/A2		2,170,000		2,373,069
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2023 (ProHealth Care, Inc.)		A+/A1		1,980,000		2,220,669
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2024 (ProHealth Care, Inc.)		A+/A1		2,460,000		2,747,254
Wisconsin Health & Educational Facilities Authority, 5.50% due 7/1/2025 (Agnesian Healthcare, Inc.)		A/A2		5,000,000		5,503,100
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2025 (ProHealth Care, Inc.)		A+/A1		3,180,000		3,549,389
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2026 (ProHealth Care, Inc.)		A+/A1		3,305,000		3,666,864
Wisconsin Health & Educational Facilities Authority, 5.00% due 11/15/2035 (Ascension Health)		AA+/Aa2		10,000,000		11,228,800
Wisconsin Health & Educational Facilities Authority, 5.00% due 11/15/2036 (Ascension Health)		AA+/Aa2		3,000,000		3,361,170
TOTAL INVESTMENTS — 98.93% (Cost $1,409,529,095)					$	1,447,934,689
OTHER ASSETS LESS LIABILITIES — 1.07%						15,608,239
NET ASSETS — 100.00%					$	1,463,542,928

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.

a Segregated as collateral for a when-issued security.

b When-issued security.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ACA	Insured by American Capital Access
AGM	Insured by Assured Guaranty Municipal Corp.
AMBAC	Insured by American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax
BAM	Insured by Build America Mutual Insurance Co.
CIFG	Insured by CIFG Assurance North America Inc.
COP	Certificates of Participation
DFA	Development Finance Authority
EDA	Economic Development Authority
ETM	Escrowed to Maturity
FHA	Insured by Federal Housing Administration
GNMA	Collateralized by Government National Mortgage Association
GO	General Obligation

HFA	Health Facilities Authority
HFFA	Health Facilities Financing Authority
IBC	Insured Bond Certificate
IDA	Industrial Development Authority
ISD	Independent School District
JEA	Jacksonville Electric Authority
Mtg	Mortgage
Natl-Re	Insured by National Public Finance Guarantee Corp.
PSF	Guaranteed by Permanent School Fund
Q-SBLF	Insured by Qualified School Bond Loan Fund
SONYMA	State of New York Mortgage Authority
Syncora	Insured by Syncora Guarantee Inc.
USD	Unified School District

See notes to financial statements.

18    Semi-Annual Report

Statement of Assets and Liabilities
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (cost $1,409,529,095) (Note 3)	$	1,447,934,689
Cash		827,331
Receivable for investments sold		4,020,000
Receivable for fund shares sold		2,959,329
Interest receivable		16,529,622
Prepaid expenses and other assets		45,859
Total Assets		1,472,316,830
LIABILITIES
Payable for investments purchased		4,000,000
Payable for fund shares redeemed		3,520,571
Payable to investment advisor and other affiliates (Note 4)		818,771
Accounts payable and accrued expenses		165,133
Dividends payable		269,427
Total Liabilities		8,773,902
NET ASSETS	$	1,463,542,928
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(3,781	)
Net unrealized appreciation on investments		38,405,594
Accumulated net realized gain (loss)		(6,546,243	)
Net capital paid in on shares of beneficial interest		1,431,687,358
	$	1,463,542,928
NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($407,004,300 applicable to 29,131,439 shares of beneficial interest outstanding - Note 5)	$	13.97
Maximum sales charge, 2.00% of offering price		0.29
Maximum offering price per share	$	14.26
Class C Shares:
Net asset value and offering price per share* ($152,840,426 applicable to 10,925,414 shares of beneficial interest outstanding - Note 5)	$	13.99
Class I Shares:
Net asset value, offering and redemption price per share ($903,698,202 applicable to 64,763,744 shares of beneficial interest outstanding - Note 5)	$	13.95

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    19

Statement of Operations
Thornburg Intermediate Municipal Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Interest income (net of premium amortized of $7,336,530)	$	22,774,512
EXPENSES
Investment advisory fees (Note 4)		3,370,067
Administration fees (Note 4)
Class A Shares		272,204
Class C Shares		100,158
Class I Shares		226,345
Distribution and service fees (Note 4)
Class A Shares		544,407
Class C Shares		479,761
Transfer agent fees
Class A Shares		114,151
Class C Shares		39,946
Class I Shares		376,400
Registration and filing fees
Class A Shares		12,651
Class C Shares		9,584
Class I Shares		30,247
Custodian fees (Note 2)		90,580
Professional fees		31,562
Accounting fees (Note 4)		25,983
Trustee fees		34,880
Other expenses		61,283
Total Expenses		5,820,209
Less:
Expenses reimbursed by investment advisor (Note 4)		(22,333	)
Net Expenses		5,797,876
Net Investment Income		16,976,636
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments		(6,454,832	)
Net change in unrealized appreciation (depreciation) on investments		(49,758,993	)
Net Realized and Unrealized Loss		(56,213,825	)
Net Decrease in Net Assets Resulting from Operations	$	(39,237,189	)

See notes to financial statements.

20    Semi-Annual Report

Statements of Changes in Net Assets

Thornburg Intermediate Municipal Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	16,976,636		$	31,582,883
Net realized gain (loss) on investments		(6,454,832	)		87,293
Net unrealized appreciation (depreciation) on investments		(49,758,993	)		29,544,061
Net Increase (Decrease) in Net Assets Resulting from Operations		(39,237,189	)		61,214,237
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(4,613,158	)		(8,992,508	)
Class C Shares		(1,438,127	)		(2,806,252	)
Class I Shares		(10,925,351	)		(19,784,123	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(43,844,022	)		35,033,185
Class C Shares		(11,377,257	)		6,640,373
Class I Shares		(21,179,553	)		190,211,712
Net Increase (Decrease) in Net Assets		(132,614,657	)		261,516,624
NET ASSETS
Beginning of Period		1,596,157,585			1,334,640,961
End of Period	$	1,463,542,928		$	1,596,157,585
Distribution in excess of net investment income	$	(3,781	)	$	(3,781	)

* Unaudited.

See notes to financial statements.

Semi-Annual Report    21

Notes to Financial Statements
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg Intermediate Municipal Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal individual income taxes as is consistent, in the view of Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.

The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment

22     Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.    

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	1,409,529,095
Gross unrealized appreciation on a tax basis	$	49,538,549
Gross unrealized depreciation on a tax basis		(11,132,955	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	38,405,594

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $110. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $91,303, (of which $0 are short-term and $91,303 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The

Semi-Annual Report    23

Notes to Financial Statements, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities
Municipal Bonds	$	1,447,934,689	$	—	$	1,447,934,689	$	—
Total Investments in Securities	$	1,447,934,689	$	—	$	1,447,934,689	$	—

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017.

24    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.500	%
Next $500 million		0.450
Next $500 million		0.400
Next $500 million		0.350
Over $2 billion		0.275

The Fund’s effective management fee for the six months ended March 31, 2017 was 0.45% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $25,983 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $604 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,352 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Distributor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A and Class C shares of the Fund for payments made by the Distributor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I shares. The Advisor and the Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C shares.

Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017 the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $22,333 for Class C shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by Trustees and Officers of the Trust and the Advisor is 0.27%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had no transactions with affiliated funds.

Semi-Annual Report    25

Notes to Financial Statements, Continued
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		2,739,952		$	38,315,853			9,279,089		$	133,413,786
Shares issued to shareholders in reinvestment of dividends		303,907			4,252,862			574,357			8,275,394
Shares repurchased		(6,198,333	)		(86,412,737	)		(7,420,820	)		(106,655,995	)
Net increase (decrease)		(3,154,474	)	$	(43,844,022	)		2,432,626		$	35,033,185
Class C Shares
Shares sold		517,295		$	7,270,574			1,913,796		$	27,572,239
Shares issued to shareholders in reinvestment of dividends		87,125			1,220,676			165,842			2,392,143
Shares repurchased		(1,418,438	)		(19,868,507	)		(1,617,751	)		(23,324,009	)
Net increase (decrease)		(814,018	)	$	(11,377,257	)		461,887		$	6,640,373
Class I Shares
Shares sold		15,980,993		$	222,907,727			25,331,370		$	364,312,426
Shares issued to shareholders in reinvestment of dividends		692,771			9,683,346			1,211,588			17,444,423
Shares repurchased		(18,224,200	)		(253,770,626	)		(13,320,008	)		(191,545,137	)
Net increase (decrease)		(1,550,436	)	$	(21,179,553	)		13,222,950		$	190,211,712

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $159,405,661 and $179,999,063 respectively.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

26     Semi-Annual Report

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Semi-Annual Report    27

Financial Highlights

    Thornburg Intermediate Municipal Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																		RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+	NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL  FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS	TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)	NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	14.47	0.15		(0.50	)		(0.35	)		(0.15	)	—		(0.15	)		$13.97		2.12	(d)		0.91	(d)		0.91	(d)		0.91	(d)		(2.43	)	11.99	$	407,005
2016(c)	$	14.17	0.29		0.30			0.59			(0.29	)	—		(0.29	)		$14.47		2.00			0.92			0.92			0.92			4.17		10.80	$	467,335
2015(c)	$	14.23	0.30		(0.06	)		0.24			(0.30	)	—		(0.30	)		$14.17		2.09			0.92			0.92			0.92			1.68		13.49	$	423,113
2014(c)	$	13.76	0.34		0.47			0.81			(0.34	)	—		(0.34	)		$14.23		2.43			0.92			0.92			0.92			5.95		14.85	$	417,369
2013(c)	$	14.22	0.33		(0.46	)		(0.13	)		(0.33	)	—		(0.33	)		$13.76		2.37			0.92			0.92			0.92			(0.91	)	29.18	$	429,941
CLASS C SHARES
2017(b)	$	14.49	0.13		(0.50	)		(0.37	)		(0.13	)	—		(0.13	)		$13.99		1.79	(d)		1.24	(d)		1.24	(d)		1.27	(d)		(2.58	)	11.99	$	152,840
2016	$	14.19	0.24		0.30			0.54			(0.24	)	—		(0.24	)		$14.49		1.68			1.24			1.24			1.27			3.84		10.80	$	170,149
2015	$	14.25	0.25		(0.06	)		0.19			(0.25	)	—		(0.25	)		$14.19		1.77			1.24			1.24			1.28			1.35		13.49	$	160,042
2014	$	13.78	0.30		0.47			0.77			(0.30	)	—		(0.30	)		$14.25		2.11			1.24			1.24			1.29			5.61		14.85	$	157,126
2013	$	14.24	0.29		(0.46	)		(0.17	)		(0.29	)	—		(0.29	)		$13.78		2.05			1.24			1.24			1.30			(1.22	)	29.18	$	159,727
CLASS I SHARES
2017(b)	$	14.46	0.17		(0.51	)		(0.34	)		(0.17	)	—		(0.17	)		$13.95		2.41	(d)		0.62	(d)		0.62	(d)		0.62	(d)		(2.36	)	11.99	$	903,698
2016	$	14.15	0.33		0.31			0.64			(0.33	)	—		(0.33	)		$14.46		2.30			0.61			0.61			0.61			4.57		10.80	$	958,674
2015	$	14.22	0.34		(0.07	)		0.27			(0.34	)	—		(0.34	)		$14.15		2.39			0.62			0.62			0.62			1.91		13.49	$	751,486
2014	$	13.75	0.38		0.47			0.85			(0.38	)	—		(0.38	)		$14.22		2.73			0.62			0.61			0.62			6.28		14.85	$	618,280
2013	$	14.20	0.38		(0.45	)		(0.07	)		(0.38	)	—		(0.38	)		$13.75		2.68			0.61			0.61			0.61			(0.53	)	29.18	$	449,501

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

28    Semi-Annual Report Semi-Annual Report    29

Expense Example
Thornburg Intermediate Municipal Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING  PERIOD† 10/1/16–3/31/17
Class A Shares
Actual	$	1,000.00	$	975.73	$	4.51
Hypothetical*	$	1,000.00	$	1,020.37	$	4.61
Class C Shares
Actual	$	1,000.00	$	974.20	$	6.10
Hypothetical*	$	1,000.00	$	1,018.75	$	6.24
Class I Shares
Actual	$	1,000.00	$	976.44	$	3.06
Hypothetical*	$	1,000.00	$	1,021.83	$	3.13

† Expenses are equal to the annualized expense ratio for each class (A: 0.91%; C: 1.24%; I: 0.62%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

30    Semi-Annual Report

Other Information
Thornburg Intermediate Municipal Fund	March 31, 2017, 2015 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg. com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    31

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task - our principal obligation to you - is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

32    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    33

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34    Semi-Annual Report

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Semi-Annual Report    35

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH172

2    Semi-Annual Report

Semi-Annual Report

Thornburg Strategic Municipal Income Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	14
Statement of Operations	15
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	22
Expense Example	24
Other Information	25
Trustees’ Statement to Shareholders	26

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	TSSAX	885-216-101
Class C	TSSCX	885-216-200
Class I	TSSIX	885-216-309

Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. This effect is more pronounced for longer-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. Investments in lower rated and unrated bonds may be more sensitive to default, downgrades, and market volatility; these investments may also be less liquid than higher rated bonds. Investments in derivatives are subject to the risks associated with the securities or other assets underlying the pool of securities, including illiquidity and difficulty in valuation. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Semi-Annual Report    3

Letter to Shareholders
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

April 28, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg Strategic Municipal Income Fund. The net asset value (NAV) of the Class A shares decreased by 60 cents to $14.93 per share during the six-month period ended March 31, 2017. If you were with us the entire period, you received dividends of 16.32 cents per share. If you reinvested your dividends, you received 16.39 cents per share. Dividends were lower for Class C shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund underperformed the index with a negative 2.81% total return (without sales charge) for the six months ended March 31, 2017, compared to the negative 2.16% return for the BofA Merrill Lynch Municipal Master Index.

The Fund’s duration exposure contributed 0.73% to relative performance. Performance attributed to credit factors detracted 0.40% from performance, and was largely driven by a single, troubled, legacy issue. Other risk factors detracted 0.48% from performance. Fund expenses accounted for the other differences.

The Municipal Bond Market

After a few years of relative quiet in the municipal bond market, things heated up following the election of Donald Trump in 2016. While stocks were rallying, bond prices, particularly municipal bond prices, came under pressure. Bond yields initially rose after the election based on expectations for greater infrastructure spending, stronger growth and higher inflation. The uptick in rates led mutual fund investors to sell their shares, which caused municipal bond mutual funds to sell their bonds to meet those redemptions. After significant inflows in January to September of 2016, investors pulled $26 billion from municipal bond funds in November and December, some of which was related to tax-loss selling.

When the calendar turned in 2017, these outflows slowed and the municipal bond market produced positive returns. A contributing factor to positive returns was a decline in municipal bond issuance, as during the first quarter of 2017, the supply of new municipal bonds declined by 12% from the same time last year.

The value metrics we use at Thornburg suggest that the municipal bond market continues to price in the rosiest of scenarios moving forward, as investors have been pushed out of the risk spectrum. That is why we have Thornburg Strategic Municipal Income Fund positioned in the lower end of its respective risk spectrum. In this environment, we continue to keep duration shorter, credit quality higher and we maintain higher levels of reserves.

Inside the Risk Metrics

Real yields, which indicate how much yield over inflation investors are being paid to own municipal bonds, increased over the six-month period. As of September 30, 2016, 10-year AAA general obligation (GO) bonds were yielding 1.64% and the Core Personal Consumption Expenditures Index (PCE) was running at 1.70%, so investors were earning less than inflation. By the end of February 2017, the yield on 10-year AAA GO bonds had increased to 2.30%, while Core PCE was running at 1.80%. While certainly more interesting at the end of the period, the 0.5% real yield was significantly less than the average of 2% investors have earned over the past 20 years.

The second thing to consider is credit spreads, which reflect the incremental yield an investor earns from owning a lower-rated credit versus a higher-rated credit, and which today remain narrow. As of March 31, 2017, an investor earned about 1.28% more for owning a 10-year BBB revenue bond versus a 10-year AAA GO bond. That is slightly higher than the average 0.75% an investor earned between 1994 and 2007. However, in 2007, approximately 50% of the new-issue municipal bond market was insured by AAA/AAA municipal bond insurers. Today, there are no AAA/AAA municipal bond insurers, and insurance coverage generally accounts for only 6% to 8% of the new-issue municipal bond market.

Finally, the slope of the yield curve, which tracks how much incremental yield an investor earns by owning securities with longer maturities, is slightly flatter than historical averages. Currently, investors are earning about 1.4% more for owning a 10-year AAA GO municipal bond, versus a one-year AAA GO municipal bond. Since 1994, an investor earned on average almost 1.6% to extend maturities from one to 10 years.

The Economy and Tax Reform

The U.S. economy continued its slow recovery in 2016, growing at a rate of 1.6% for 2016 in aggregate.

Unemployment continued to tick down. During the six-month period ended March 31, 2017, the U.S. economy added 976,000 jobs and by the end of the period the unemployment rate had fallen to 4.5%. Inflation remained stable, with the Core PCE Index reading 1.75% through March, below the Fed’s 2% target range.

Taken in aggregate, the economy continues to grow, jobs are being added and inflation has remained contained to date. In an effort to keep the economy in check, the U.S. Federal Reserve raised the Fed funds rate in December of 2016, and again in March of 2017.

The economic health of the municipal bond market appears steady with a couple of notable exceptions. The drama in

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

Puerto Rico is still playing out; the only winners are the consultants and lawyers hired by all sides.

Elsewhere, Bloomberg provides a heat map of the economic health of U.S. states, covering the period from the fourth quarter of 2015 through the fourth quarter of 2016 (the most recent data available). The majority of the states appear healthy except those with heavy dependence on oil, gas, and coal. The energy-dependent states should improve if oil can maintain prices above $50/barrel.

Tax reform is the second highest priority of President Trump’s and the Republican-led House agenda—second only to health care reform. The most important items in the tax proposals for the owners of municipal bonds (individuals as well as corporations) are those relevant to investment income. By lowering the effective tax rate on competing sources of income, prices of municipal bonds would most likely fall (yields would increase) to become more competitive with these alternative sources of income. There are a number of proposals that have been brought forth, and we believe that if tax reform is enacted, it will be something different than any one of these specific proposals.

President Trump’s tax reform proposal (released Thursday, April 27, 2017) called for the elimination of the deduction for state and local taxes on an individual’s federal tax return. This would, if adopted, have significant impacts for residents of high-tax states. The near-term effects on the economy would be minimal, but long term, residents would have less money in their pockets to spend, the cost of residing in high-tax states would increase and might cause out-migration and lower growth.

Conclusion

We continue to run this portfolio in an opportunistic fashion, taking higher degrees of risk when our shareholders are getting paid to take those risks. We go where the value is! Unfortunately, in this environment we see very little reason to position the portfolio any place other than the low end of its relative risk spectrum.

Thank you for your continued trust in us, and please know that the co-managers of this Fund are invested alongside you.

Sincerely,

Christopher Ryon,CFA Portfolio Manager Managing Director	Nicholos Venditti,CFA Portfolio Manager Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			SINCE INCEP.
A Shares (Incep: 4/1/09)
Without sales charge		-0.90	%		2.81	%		3.07	%		6.40	%
With sales charge		-2.86	%		2.12	%		2.65	%		6.14	%
C Shares (Incep: 4/1/09)
Without sales charge		-1.29	%		2.47	%		2.74	%		6.09	%
With sales charge		-1.87	%		2.47	%		2.74	%		6.09	%
I Shares (Incep: 4/1/09)		-0.67	%		3.11	%		3.39	%		6.72	%

30-DAY YIELDS, A SHARES

(with sales charge)

Annualized Distribution Yield	2.29	%
SEC Yield	1.60	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of Apr-1-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Mar-17 future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 2.00%. Class C shares include a 0.60% CDSC for the first year only. There is no sales charge for Class I shares. As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.29%; C shares, 1.66%; I shares, 0.93%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: A shares, 1.00%; C shares, 1.51%; I shares, 0.78%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus. Without the fee waivers and expense reimbursements, the Annualized Distribution yield would have been 2.17%, and the SEC yield would have been 1.46%.

Glossary

The BofA Merrill Lynch Municipal Master Index tracks the performance of the investment-grade U.S. tax-exempt bond market. Qualifying bonds must have at least one year remaining term to maturity, a fixed coupon schedule, and an investment grade rating (based on average of Moody’s, S&P, and Fitch).

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.

Bond Credit Ratings (Credit Quality) – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Insured Bonds – Individual bonds are sometimes insured by private companies. The insurance guarantees the payment of principal and interest on a bond issue if the issuer defaults. Mutual funds are not insured, even if the underlying bonds are insured.

Core Personal Consumption Expenditure Index (Core PCE) – Core Personal Consumption Expenditure Index is a measure of the Personal Consumption Expenditure Index that excludes the more volatile and seasonal food and energy prices.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.

General Obligation Bond (GO) – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.

Revenue Bond – A bond on which the debt service is payable solely from the revenue generated from the operation of the project being financed or a category of facilities, or from other non-tax sources.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

6    Semi-Annual Report

Fund Summary
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks a high level of current income exempt from federal individual income tax (may be subject to Alternative Minimum Tax).

The Fund invests principally in a portfolio of municipal bonds issued by states and state agencies, local governments and their agencies, and by U.S. territories and possessions.

Not more than 50% of the portfolio is invested in bonds rated below investment grade (or of equivalent quality as determined in accordance with the prospectus) at the time of purchase. Also, the portfolio is typically diversified among sectors, issuers, credit qualities, geographic regions, and segments of the yield curve. The flexible nature of the Fund allows the team to adapt the portfolio’s duration and credit quality to our perception of future market conditions.

KEY PORTFOLIO ATTRIBUTES

Number of Bonds	222
Effective Duration	5.2 Yrs
Average Maturity	9.7 Yrs

SECURITY CREDIT RATINGS

A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.

There is no guarantee that the Fund will meet its investment objectives.

All data is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    7

Schedule of Investments
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
ARIZONA — 1.26%
Arizona HFA, 5.00% due 12/1/2031 (Scottsdale Lincoln Hospitals)	NR/A2	$	2,500,000	$	2,809,100
Pima County IDA, 5.125% due 12/1/2040 (Providence Day School)	BBB+/NR		710,000		739,408
ARKANSAS — 0.40%
University of Arkansas Board of Trustees, 5.00% due 11/1/2036 (Fayetteville Campus)	NR/Aa2		1,000,000		1,121,750
CALIFORNIA — 16.81%
ABAG Finance Authority for Nonprofit Corporations, 5.00% due 7/1/2047 (Episcopal Senior Communities)	NR/NR		1,635,000		1,717,044
Benicia USD GO, 0% due 8/1/2026 (Benicia High School; Insured: AGM)	AA/A2		830,000		637,540
California HFFA, 6.25% due 2/1/2026 (Community Program Developmental Disabilities; Insured: California Mtg Insurance)	AA-/NR		1,500,000		1,729,455
California HFFA, 5.00% due 11/15/2034 (Children’s Hospital Los Angeles)	BBB+/Baa2		420,000		453,440
California Municipal Finance Authority, 8.50% due 11/1/2039 pre-refunded 11/1/2019 (Harbor Regional Center)	NR/A3		1,000,000		1,184,270
California Pollution Control Financing Authority, 5.00% due 11/21/2045 (Poseidon Resources (Channelside) LP Desalination Project) (AMT)	NR/Baa3		3,000,000		3,106,830
California School Cash Reserve Program Authority, 2.00% due 6/30/2017	SP-1+/NR		1,000,000		1,002,710
California State Public Works Board, 5.00% due 4/1/2028 (Corrections, Rehabilitation and Judicial Council)	A+/A1		1,000,000		1,134,680
California State Public Works Board, 6.25% due 4/1/2034 pre-refunded 4/1/2019 (Department of General Services-Office Buildings 8 and 9 Renovation)	A+/Aaa		100,000		110,150
California Statewide Communities Development Authority, 5.00% due 7/1/2020 pre-refunded 1/1/2019 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC)	NR/NR		125,000		129,983
California Statewide Communities Development Authority, 5.00% due 5/15/2035 (Irvine East Campus Apartments)	NR/Baa1		2,975,000		3,243,137
California Statewide Communities Development Authority, 6.125% due 7/1/2046 pre-refunded 1/1/2019 (Aspire Public Schools)	NR/NR		995,000		1,080,500
Calipatria USD GO, 0% due 8/1/2025 (Educational Facilities; Insured: ACA)	NR/NR		2,210,000		1,522,160
Carson Redevelopment Agency, 7.00% due 10/1/2036 pre-refunded 10/1/2019 (Project Area 1)	A-/NR		500,000		571,810
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC)	A+/NR		1,500,000		1,503,660
City of Los Angeles GO, 3.00% due 6/29/2017 (Cash Flow Management)	SP-1+/Mig1		2,000,000		2,009,800
City of Moorpark Mobile Home Park, 6.15% due 5/15/2031 (Villa Del Arroyo)	A+/NR		1,000,000		1,113,850
City of Palm Springs Financing Authority, 5.25% due 6/1/2027 (Downtown Revitalization Project)	AA/NR		1,620,000		1,846,573
Corona-Norco USD COP, 5.00% due 4/15/2031 (Insured: AGM)	AA/A1		1,750,000		1,912,050
County of El Dorado, 5.00% due 9/1/2026 (El Dorado Hills Development-Community Facilities)	A/NR		630,000		703,105
County of Los Angeles GO, 3.00% due 6/30/2017 (Cash Management Program)	SP-1+/Mig1		3,000,000		3,017,370
Daly County Housing Development Finance Agency, 5.25% due 12/15/2023 (Franciscan Country Club Mobile Home Park Acquisition)	A+/NR		650,000		665,028
M-S-R Energy Authority, 6.50% due 11/1/2039	BBB+/NR		1,000,000		1,358,470
Metropolitan Water District of Southern California Floating Rate Note, 1.07% due 7/1/2030	AAA/Aa1		4,000,000		4,000,000
Oakland USD GO, 5.00% due 8/1/2035 (County of Alameda Educational Facilities)	AA-/Aa3		1,000,000		1,138,550
Redwood City Redevelopment Agency, 0% due 7/15/2021 (Redevelopment Project Area 2; Insured: AMBAC)	A-/NR		1,285,000		1,137,867
Riverside County Asset Leasing Corp., 0% due 6/1/2021 (Riverside County Hospital; Insured: Natl-Re)	AA-/A1		535,000		489,589
San Francisco City & County Redevelopment Financing Authority, 0% due 8/1/2023 (Redevelopment Project; Insured: Natl-Re)	AA-/A2		1,025,000		856,593
San Francisco City & County Redevelopment Financing Authority, 6.50% due 8/1/2039 pre-refunded 8/1/2019 (Mission Bay North Redevelopment)	A-/NR		250,000		280,915
San Francisco City & County Redevelopment Financing Authority, 6.75% due 8/1/2041 pre-refunded 2/1/2021 (Mission Bay North Redevelopment)	A-/NR		500,000		599,965
San Jose Redevelopment Agency, 5.50% due 8/1/2035 (Merged Area Redevelopment)	A/A2		1,000,000		1,096,770
State of California GO, 5.00% due 8/1/2032 (Kindergarten-University Facilities)	AA-/Aa3		4,600,000		5,331,722
Union Elementary School District, 0% due 9/1/2027 (Santa Clara County District Schools; Insured: Natl-Re)	AA+/NR		905,000		654,406
COLORADO — 1.30%
Denver Convention Center Hotel Authority, 5.00% due 12/1/2028	BBB-/Baa2		1,000,000		1,139,160
Eagle River Fire District, 6.625% due 12/1/2024 pre-refunded 12/1/2019	NR/NR		225,000		256,552
Eagle River Fire District, 6.875% due 12/1/2030 pre-refunded 12/1/2019	NR/NR		400,000		458,592
Public Authority for Colorado Energy, 5.75% due 11/15/2018 (Natural Gas Purchase)	BBB+/Baa1		285,000		295,576
Public Authority for Colorado Energy, 6.50% due 11/15/2038 (Natural Gas Purchase)	BBB+/Baa1		260,000		349,349
Regional Transportation District COP, 5.375% due 6/1/2031 (FasTracks Transportation System)	A/Aa3		500,000		550,950
Regional Transportation District COP, 5.00% due 6/1/2044 (FasTracks Transportation System)	A/Aa3		565,000		622,478
CONNECTICUT — 1.82%
Connecticut Health & Educational Facilities Authority, 6.00% due 7/1/2039 pre-refunded 7/1/2019 (Ethel Walker School)	NR/NR		1,000,000		1,107,870
State of Connecticut GO Floating Rate Note, 1.31% due 9/15/2017 (Various Capital Projects)	AA-/Aa3		1,000,000		999,990
State of Connecticut GO Floating Rate Note, 1.54% due 6/15/2018 (Various Capital Projects)	AA-/Aa3		3,000,000		3,010,080

8     Semi-Annual Report

Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
DELAWARE — 0.38%
Delaware HFA, 5.00% due 7/1/2021 (Nanticoke Memorial Hospital)		BBB/NR	$	1,000,000	$	1,084,610
DISTRICT OF COLUMBIA — 0.36%
Metropolitan Washington Airports Authority, 0% due 10/1/2027 (Dulles Toll Road; Insured: AGM)		AA/A3		1,500,000		1,023,885
FLORIDA — 4.33%
City of Miami GO, 5.00% due 1/1/2018 (Homeland Defense/Neighborhood Capital Improvements)		AA-/A1		1,790,000		1,837,328
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2027 (Nova Southeastern University)		A-/Baa1		1,000,000		1,095,150
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2028 (Nova Southeastern University)		A-/Baa1		1,250,000		1,417,175
Miami-Dade County Expressway Authority, 5.00% due 7/1/2022 (Toll System Five-Year Work Program)		A/A2		625,000		716,994
Miami-Dade County Expressway Authority, 5.00% due 7/1/2024 (Toll System Five-Year Work Program)		A/A2		625,000		733,206
Miami-Dade County School Board COP, 5.00% due 8/1/2027 (District School Facilities and Infrastructure)		A/A1		1,100,000		1,221,913
Orange County, 5.00% due 10/1/2031 (Tourist Development)		AA-/Aa3		1,000,000		1,158,880
Pinellas County Educational Facilities Authority, 5.25% due 10/1/2030 (Barry University)		BBB/NR		500,000		538,380
Sarasota County Public Hospital Board, 4.343% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re)		AA-/A1		1,000,000		1,036,550
Tampa Sports Authority, 5.75% due 10/1/2020 (Tampa Bay Arena; Insured: Natl-Re)		AA-/NR		725,000		780,397
Volusia County Educational Facilities Authority, 5.00% due 10/15/2030 (Embry-Riddle Aeronautical University, Inc.)		NR/Baa1		1,500,000		1,654,710
GEORGIA — 0.92%
City of Atlanta, 6.25% due 11/1/2034 pre-refunded 11/1/2019 (Water and Wastewater Capital Improvement Program)		AA-/Aa2		500,000		564,165
Development Authority of Fulton County, 5.00% due 10/1/2019 (Georgia Tech Athletic Assoc.)		NR/A2		1,000,000		1,089,040
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas)		A-/A3		515,000		532,433
Main Street Natural Gas, Inc., 5.50% due 9/15/2023 (Georgia Gas)		BBB+/NR		350,000		403,441
GUAM — 3.46%
Government of Guam, 5.00% due 11/15/2031 (Economic Development)		A/NR		2,000,000		2,120,580
Government of Guam, 5.00% due 11/15/2032 (Various Capital Projects)		A/NR		3,000,000		3,165,300
Government of Guam, 5.75% due 12/1/2034 pre-refunded 12/1/2019 (Layon Solid Waste Disposal Facility)		BBB+/NR		500,000		558,140
Government of Guam Department of Education COP, 6.875% due 12/1/2040 (John F. Kennedy High School)		B+/NR		1,000,000		1,056,710
Government of Guam GO, 7.00% due 11/15/2039 pre-refunded 11/15/2019 (Economic Development)		NR/NR		520,000		596,705
Guam Power Authority, 5.00% due 10/1/2027 (Electric Power System; Insured: AGM)		AA/A2		1,000,000		1,130,190
Guam Waterworks Authority, 5.25% due 7/1/2024 (Water and Wastewater System)		A-/Baa2		500,000		566,095
Guam Waterworks Authority, 5.00% due 7/1/2028 (Water and Wastewater System)		A-/Baa2		500,000		548,070
IDAHO — 0.36%
State of Idaho GO, 2.00% due 6/30/2017		SP-1+/Mig1		1,000,000		1,002,660
ILLINOIS — 8.81%
Board of Education of the City of Chicago GO, 5.00% due 12/1/2020 (Education Capital Improvement Program; Insured: AGM)		AA/A2		365,000		373,063
Chicago Park District, 5.00% due 1/1/2027 (Various Capital Improvements)		AA+/NR		825,000		934,816
Chicago Park District GO, 5.00% due 1/1/2035 (Various Capital Improvements)		AA+/NR		2,000,000		2,131,780
City of Chicago, 5.00% due 1/1/2018		BBB-/Ba1		500,000		508,650
City of Chicago, 0% due 11/1/2018 (Water System Improvements; Insured: AMBAC)		A+/Baa1		305,000		297,225
City of Chicago, 5.00% due 1/1/2022		BBB-/Ba1		1,195,000		1,272,759
City of Chicago, 5.00% due 11/1/2029 (Water System Improvements)		A/Baa2		200,000		216,476
City of Chicago, 5.00% due 1/1/2030 (Wastewater Transmission System)		A/NR		1,500,000		1,637,655
City of Chicago, 5.00% due 1/1/2031 (Riverwalk Expansion Project; Insured: AGM)		AA/A2		500,000		533,560
City of Chicago, 5.00% due 1/1/2031 (Chicago O’Hare International Airport)		A/NR		500,000		565,335
City of Chicago GO, 5.00% due 1/1/2020 (Capital Projects; Insured: AGM)		AA/A2		475,000		476,563
City of Chicago GO, 5.00% due 1/1/2026 (Debt Restructuring)		BBB+/NR		500,000		498,560
City of Chicago GO, 5.25% due 1/1/2035 (Various Infrastructure Projects)		BBB+/Ba1		500,000		482,065
Cook County GO, 5.25% due 11/15/2033		AA-/A2		1,000,000		1,057,610
Illinois Finance Authority, 5.00% due 8/1/2029 (Advocate Health Care Network)		AA+/Aa2		2,195,000		2,484,937
Illinois Finance Authority, 5.00% due 8/15/2035 (Silver Cross Hospital & Medical Centers)		NR/Baa1		2,355,000		2,521,051
Illinois Finance Authority, 5.75% due 11/15/2037 pre-refunded 11/15/2017 (OSF Healthcare System)		A/A2		330,000		339,864
Illinois Finance Authority, 6.00% due 5/15/2039 pre-refunded 5/15/2020 (OSF Healthcare System)		NR/NR		990,000		1,127,917
Illinois Finance Authority, 6.00% due 5/15/2039 (OSF Healthcare System)		A/A2		555,000		610,344
Illinois Toll Highway Authority, 5.00% due 1/1/2037 (Move Illinois Program)		AA-/Aa3		1,000,000		1,104,370
Kane, Cook, & DuPage Counties School District No. 46 GO, 5.00% due 1/1/2028		AA-/NR		1,000,000		1,123,940
Kane, Cook, & DuPage Counties School District No. 46 GO, 5.00% due 1/1/2031		AA-/NR		2,255,000		2,499,555
Metropolitan Pier & Exposition Authority, 5.00% due 6/15/2050 (McCormick Place)		BBB-/Baa3		1,500,000		1,511,370

Semi-Annual Report     9

Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Metropolitan Water Reclamation District of Greater Chicago GO, 5.25% due 12/1/2032 (Various Capital Improvement Projects)	AA+/Aa2	$	40,000	$	47,478
Will County School District No. 114 GO, 0% due 12/1/2023 (Educational Facilities; Insured: Natl-Re)	NR/A3		570,000		469,212
INDIANA — 1.81%
City of Carmel Redevelopment District COP, 6.50% due 7/15/2035 pre-refunded 1/15/2021 (Performing Arts Center)	NR/NR		1,000,000		1,178,420
City of Whiting Environmental Facilities, 5.00% due 3/1/2046 (BP Products North America Inc. Project) (AMT)	A-/A2		2,500,000		2,827,025
Indiana Finance Authority, 6.375% due 9/15/2041 (Marian University)	BBB-/NR		1,000,000		1,096,030
KANSAS — 1.10%
City of Wichita, 5.85% due 12/1/2025 (Brentwood Apartments)	B/NR		895,000		842,141
Unified Government of Wyandotte County/Kansas City, 5.00% due 9/1/2031 (Utility System Improvement)	A+/A3		1,000,000		1,129,240
Unified Government of Wyandotte County/Kansas City, 5.00% due 9/1/2032 (Utility System Improvement)	A+/A3		1,000,000		1,123,590
KENTUCKY — 2.18%
Commonwealth of Kentucky State Property and Buildings Commission, 5.00% due 11/1/2020 pre-refunded 11/1/2018 (Project No. 89; Insured: AGM)	AA/Aa3		2,500,000		2,655,575
County of Owen, 6.25% due 6/1/2039 (Kentucky-American Water Co. Project)	A/A3		540,000		583,421
Kentucky Economic DFA, 0% due 10/1/2021 (Norton Healthcare, Inc.; Insured: Natl-Re)	AA-/A3		715,000		634,620
Kentucky Economic DFA, 0% due 10/1/2022 (Norton Healthcare, Inc.; Insured: Natl-Re)	AA-/A3		2,650,000		2,268,029
LOUISIANA — 2.01%
City of New Orleans, 5.00% due 12/1/2034 (Water System Facilities Improvement)	A-/NR		400,000		446,288
Louisiana Energy and Power Authority, 5.25% due 6/1/2038 (LEPA Unit No. 1; Insured: AGM)	AA/A2		2,000,000		2,221,800
Louisiana Public Facilities Authority, 5.00% due 7/1/2032 pre-refunded 7/1/2017 (Black & Gold Facilities; Insured: CIFG)	AA/A3		120,000		121,267
Louisiana Public Facilities Authority, 5.375% due 5/15/2043 pre-refunded 5/15/2017 (Ochsner Clinic Foundation)	NR/NR		140,000		140,792
Louisiana Public Facilities Authority, 5.375% due 5/15/2043 (Ochsner Clinic Foundation)	NR/Baa1		360,000		361,253
Parish of St. Charles, 4.00% due 12/1/2040 put 6/1/2022 (Valero Energy Corp. Refinery)	BBB/Baa2		2,250,000		2,360,498
MASSACHUSETTS — 0.29%
Massachusetts Development Finance Agency, 5.00% due 7/1/2032 (Jordan Hospital and Milton Hospital)	A-/A3		355,000		395,275
Massachusetts Development Finance Agency, 5.00% due 7/1/2033 (Jordan Hospital and Milton Hospital)	A-/A3		200,000		221,174
Massachusetts Educational Financing Authority, 6.00% due 1/1/2028	AA/NR		195,000		205,699
MICHIGAN — 5.49%
Board of Governors of Wayne State University, 5.00% due 11/15/2033 (Educational Facilities and Equipment)	A+/Aa3		1,250,000		1,402,875
City of Troy GO, 5.25% due 11/1/2032 (Downtown Development Authority-Community Center Facilities)	AAA/NR		1,025,000		1,163,672
County of Genesee GO, 5.375% due 11/1/2038 (Water Supply System; Insured: BAM)	AA/A2		1,000,000		1,111,160
Detroit City School District, 5.00% due 5/1/2025 (School Building & Site; Insured: Q-SBLF)	AA-/Aa1		1,000,000		1,098,920
Detroit City School District GO, 5.25% due 5/1/2027 (School Building & Site; Insured: AGM)	AA/Aa1		1,000,000		1,173,290
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2036 pre-refunded 5/15/2020 (Bronson Methodist Hospital)	NR/NR		550,000		610,594
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2036 (Bronson Methodist Hospital)	NR/A2		450,000		483,296
Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2041 pre-refunded 5/15/2021 (Bronson Methodist Hospital)	NR/NR		860,000		986,042
Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2041 (Bronson Methodist Hospital)	NR/A2		140,000		151,502
Livonia Public School District GO, 5.00% due 5/1/2036 (School Building & Site)	AA/A2		225,000		245,662
Michigan Finance Authority, 5.00% due 4/1/2031 (State Dept. of Human Services Office Buildings)	A+/NR		1,000,000		1,074,880
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School)	NR/NR		995,000		1,029,924
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 pre-refunded 7/15/2017 (Oakwood Southshore Medical Center)	A/A1		650,000		657,917
Michigan State Hospital Finance Authority, 5.75% due 11/15/2039 pre-refunded 11/15/2019 (Henry Ford Health System)	A/A3		1,000,000		1,115,240
Michigan Strategic Fund, 7.00% due 5/1/2021 (Detroit Edison Company; Insured: Natl-Re/AMBAC)	NR/NR		250,000		300,118
Wayne County Airport Authority, 5.00% due 12/1/2031 (Detroit Metropolitan Wayne County Airport)	A/A2		650,000		716,410
Wayne County Airport Authority, 5.00% due 12/1/2033 (Detroit Metropolitan Wayne County Airport)	A/A2		825,000		901,741
Wayne County Airport Authority, 5.00% due 12/1/2034 (Detroit Metropolitan Wayne County Airport)	A/A2		1,140,000		1,241,266
MINNESOTA — 0.15%
Washington County Housing Redevelopment Authority, 5.625% due 6/1/2037 pre-refunded 6/1/2017 (Birchwood and Woodbury Healthcare Facility Projects)	NR/NR		415,000		418,362
MISSOURI — 1.07%
Tax Increment Financing Commission of Kansas City, 5.25% due 3/1/2018 (Maincor Public Improvements) (ETM)	NR/NR		420,000		434,007
Tax Increment Financing Commission of Kansas City, 6.00% due 5/1/2030 (Union Hill Redevelopment Project)	NR/NR		2,505,000		2,569,003

10    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
NEBRASKA — 0.70%
Douglas County Health Facilities, 5.00% due 11/1/2029 (Nebraska Methodist Health System)	A-/NR	$	950,000	$	1,069,196
Douglas County Health Facilities, 5.00% due 11/1/2030 (Nebraska Methodist Health System)	A-/NR		800,000		892,888
NEW JERSEY — 4.03%
Higher Education Student Assistance Authority, 5.75% due 12/1/2039 (NJCLASS Student Loan Program) (AMT)	A/A2		750,000		801,795
New Jersey Economic Development Authority, 5.50% due 6/15/2030 (School Facilities Construction)	BBB+/Baa1		1,000,000		1,064,180
New Jersey EDA, 5.00% due 3/1/2026 (School Facilities Construction)	BBB+/Baa1		1,000,000		1,036,200
New Jersey EDA, 5.50% due 9/1/2027 (School Facilities Construction; Insured: Natl-Re)	AA-/A3		1,000,000		1,160,330
New Jersey EDA, 5.00% due 6/15/2029 (School Facilities Construction)	BBB+/Baa1		2,000,000		2,040,640
New Jersey Transit Corp., 5.00% due 9/15/2020 (Federal Transit Administration Section 5307 Urbanized Area Formula Funds)	A/A3		1,000,000		1,068,510
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2027 (State Transportation System Improvements)	A+/Baa1		3,000,000		3,212,910
New Jersey Transportation Trust Fund Authority, 1.99% due 6/15/2034 put 4/7/2017 (State Transportation System Improvements) (weekly demand notes)	BBB+/Baa1		1,000,000		972,380
NEW MEXICO — 1.31%
City of Farmington, 4.70% due 9/1/2024 (Arizona Public Service Co.-Four Corners Project)	A-/A2		1,000,000		1,072,920
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2032 (Haverland Carter Lifestyle Group)	NR/NR		2,500,000		2,603,950
NEW YORK — 11.75%
City of New York GO, 5.00% due 8/1/2023 (City Budget Financial Management)	AA/Aa2		3,000,000		3,530,550
City of New York GO, 5.00% due 8/1/2031 (City Budget Financial Management)	AA/Aa2		2,000,000		2,301,240
City of New York GO, 0.91% due 8/1/2035 put 4/3/2017 (Capital Projects) (daily demand notes)	AA/Aa2		1,000,000		1,000,000
City of Syracuse, 5.00% due 8/1/2017 (City Public and School Building Capital Projects; Insured: AGM) (State Aid Withholding)	AA/Aa3		400,000		401,360
New York City Municipal Water Finance Authority, 0.90% due 6/15/2045 put 4/3/2017 (Water & Sewer System; SPA: U.S. Bank, N.A.) (daily demand notes)	AAA/Aa1		3,200,000		3,200,000
New York City Municipal Water Finance Authority, 0.93% due 6/15/2048 put 4/3/2017 (Water & Sewer System; SPA: Mizuho Bank, Ltd.) (daily demand notes)	AA+/Aa1		1,000,000		1,000,000
New York City Municipal Water Finance Authority, 0.96% due 6/15/2048 put 4/3/2017 (Water & Sewer System; SPA: Mizuho Bank, Ltd.) (daily demand notes)	AA+/Aa1		4,100,000		4,100,000
New York City Transitional Finance Authority, 0.96% due 11/1/2022 put 4/3/2017 (World Trade Center Recovery; SPA: Landesbank Hessen-Thuringen) (daily demand notes)	AAA/Aa1		2,225,000		2,225,000
New York City Transitional Finance Authority, 0.96% due 8/1/2031 put 4/3/2017 (City Capital Projects; SPA: Landesbank Hessen-Thuringen) (daily demand notes)	AAA/Aaa		2,250,000		2,250,000
New York City Transitional Finance Authority, 0.95% due 11/1/2036 put 4/3/2017 (City Capital Projects; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)	AAA/Aa1		3,775,000		3,775,000
New York City Transitional Finance Authority, 0.91% due 11/1/2042 put 4/3/2017 (City Capital Projects; SPA: Barclays Bank plc) (daily demand notes)	AAA/Aa1		2,200,000		2,200,000
New York State Housing Finance Agency, 0.96% due 11/1/2046 put 4/3/2017 (160 Madison Avenue Housing; LOC: PNC Bank, N.A.) (daily demand notes)	NR/A1		4,955,000		4,955,000
Tobacco Settlement Asset Securitization Corp., 5.00% due 6/1/2022	A/NR		1,000,000		1,133,140
Town of Oyster Bay GO, 3.50% due 2/2/2018	NR/NR		1,000,000		1,008,690
NORTH CAROLINA — 0.60%
North Carolina Medical Care Commission, 5.00% due 6/1/2029 (Vidant Health)	A+/A1		1,500,000		1,701,975
OHIO — 1.78%
Akron, Bath and Copley Joint Hospital District, 5.25% due 11/15/2030 (Summa Health)	NR/Baa1		1,420,000		1,597,074
American Municipal Power, Inc., 5.25% due 2/15/2018 (AMP Combined Hydroelectric Projects)	A/A2		500,000		518,390
City of Akron, 5.00% due 12/1/2031 (Community Learning Centers)	AA+/NR		625,000		711,319
Cleveland-Cuyahoga County Port Authority, 7.00% due 5/15/2040 (Flats East Development Project; LOC: Fifth Third Bank)	BBB+/NR		945,000		1,034,085
County of Scioto, 5.00% due 2/15/2034 (Southern Ohio Medical Center)	NR/A2		1,025,000		1,148,830
OREGON’ — 1.78%
State of Oregon GO, 2.00% due 6/30/2017 (Cash Management)	SP-1+/Mig1		5,000,000		5,015,300
PENNSYLVANIA — 9.15%
Allegheny County IDA, 6.75% due 8/15/2035 (Propel Charter School)	BBB-/NR		920,000		987,786
City of Philadelphia Gas Works, 5.00% due 10/1/2029	A/Baa1		1,000,000		1,132,220
City of Philadelphia Gas Works, 5.00% due 10/1/2030	A/Baa1		1,000,000		1,125,940
City of Philadelphia Gas Works, 5.00% due 10/1/2031	A/Baa1		1,000,000		1,119,490

Semi-Annual Report     11

Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Coatesville Area School District GO, 5.00% due 8/1/2024 (Insured: AGM) (State Aid Withholding)	AA/A2	$	975,000	$	1,130,990
Coatesville Area School District GO, 5.00% due 8/1/2025 (Insured: AGM) (State Aid Withholding)	AA/A2		500,000		583,735
County of Luzerne GO, 5.00% due 11/15/2029 (Insured: AGM)	AA/NR		1,000,000		1,100,520
Cumberland County Municipal Authority, 5.00% due 1/1/2018 (Diakon Lutheran Social Ministries)	NR/NR		425,000		436,139
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.95% due 2/15/2021 put 4/3/2017 (The Children’s Hospital of Philadelphia; SPA: Wells Fargo Bank, N.A.) (daily demand notes)	AA/Aa2		2,500,000		2,500,000
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.95% due 7/1/2025 put 4/3/2017 (The Children’s Hospital of Philadelphia; SPA: Wells Fargo Bank, N.A.) (daily demand notes)	AA/Aa2		800,000		800,000
Lancaster County Hospital Authority, 5.00% due 11/1/2019 (Masonic Villages Project)	A/NR		2,675,000		2,895,688
Lehigh County IDA, 0.90% due 2/15/2027 put 8/15/2017 (PPL Electric Utilities Corp.)	A/A1		5,500,000		5,499,395
Pennsylvania Economic DFA, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT)	BBB-/Ba1		1,145,000		1,153,244
Pennsylvania Turnpike Commission, 5.35% due 12/1/2030 pre-refunded 12/1/2020 (Highway Improvements)	NR/NR		695,000		793,885
Pennsylvania Turnpike Commission, 5.35% due 12/1/2030 (Highway Improvements)	A-/A3		1,305,000		1,440,028
Philadelphia Authority for Industrial Development, 5.00% due 9/1/2035 (Thomas Jefferson University)	A+/A2		1,500,000		1,655,355
Philadelphia IDA, 6.00% due 8/1/2035 pre-refunded 8/1/2020 (Mast Charter School)	BBB/NR		1,000,000		1,150,620
Philadelphia School District GO, 4.50% due 9/1/2017 (Capital Improvements; Insured: BHAC) (State Aid Withholding)	AA+/Aa1		250,000		253,460
RHODE ISLAND — 0.27%
Pawtucket Housing Authority, 5.50% due 9/1/2022	A+/NR		225,000		256,671
Pawtucket Housing Authority, 5.50% due 9/1/2022 pre-refunded 9/1/2020	NR/NR		90,000		105,029
Pawtucket Housing Authority, 5.50% due 9/1/2024 pre-refunded 9/1/2020	NR/NR		100,000		116,699
Pawtucket Housing Authority, 5.50% due 9/1/2024	A+/NR		250,000		284,143
SOUTH DAKOTA — 0.44%
South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2027 (Avera Health)	AA-/A1		400,000		440,576
South Dakota Health & Educational Facilities Authority, 5.50% due 11/1/2040 (Sanford Health)	A+/A1		750,000		804,375
TENNESSEE — 0.20%
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2024	BBB+/A3		500,000		575,015
TEXAS — 9.63%
Austin Convention Enterprises, Inc., 5.25% due 1/1/2024 (Austin Convention Center; Insured: Syncora)	BBB-/Ba1		720,000		720,842
Austin Convention Enterprises, Inc., 5.00% due 1/1/2034 (Austin Convention Center; Insured: Syncora)	BBB-/Ba1		795,000		796,121
City of Dallas GO, 5.00% due 2/15/2031 (Public Improvements)	AA-/NR		1,930,000		2,126,223
City of Houston, 5.00% due 9/1/2025 (Convention & Entertainment Facilities Department)	A-/A2		1,000,000		1,166,290
City of Houston, 5.00% due 9/1/2028 (Convention & Entertainment Facilities Department)	A-/A2		325,000		371,641
City of Houston, 5.00% due 11/15/2028 (Combined Utility System)	AA/Aa2		2,500,000		2,917,550
City of Houston, 5.00% due 9/1/2034 (Convention & Entertainment Facilities Department)	A-/A2		1,550,000		1,719,911
City of Houston GO, 5.00% due 3/1/2032 (Public Improvements)	AA/Aa3		3,000,000		3,401,010
City of Texas City Industrial Development Corp., 7.375% due 10/1/2020 (ARCO Pipe Line Co. Project)	A-/A2		1,165,000		1,372,615
Harris County-Houston Sports Authority, 5.00% due 11/15/2030	A-/A2		2,000,000		2,269,580
Kimble County Hospital District, 6.25% due 8/15/2033 pre-refunded 8/15/2019	NR/NR		500,000		558,470
La Vernia Higher Education Finance Corp., 6.25% due 8/15/2039 pre-refunded 8/15/2019 (Kipp, Inc.)	BBB/NR		1,000,000		1,115,940
Lower Colorado River Authority, 5.00% due 5/15/2026 pre-refunded 5/15/2022	NR/NR		20,000		23,229
Lower Colorado River Authority, 5.00% due 5/15/2026	A/A2		2,980,000		3,378,039
San Antonio Energy Acquisition Public Facilities Corp., 5.50% due 8/1/2021 (Natural Gas Supply Agreement)	BBB+/A3		40,000		44,950
San Juan Higher Education Finance Authority, 6.70% due 8/15/2040 pre-refunded 8/15/2020 (IDEA Public Schools)	BBB/NR		1,000,000		1,174,860
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2023 pre-refunded 8/15/2017 (IDEA Public Schools; Insured: ACA)	BBB/NR		155,000		157,432
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 pre-refunded 8/15/2017 (IDEA Public Schools; Insured: ACA)	BBB/NR		1,550,000		1,574,319
Texas Public Finance Authority Charter School Finance Corp., 6.20% due 2/15/2040 pre-refunded 2/15/2020 (Cosmos Foundation, Inc.)	BBB/NR		1,000,000		1,133,520
Texas Transportation Commission, 5.00% due 8/15/2034 (Central Texas Turnpike System)	BBB+/Baa1		1,000,000		1,088,550
U.S. VIRGIN ISLANDS — 0.14%
Virgin Islands Public Finance Authority, 6.75% due 10/1/2037	NR/Caa2		500,000		401,260
UTAH — 0.79%
Herriman City, 4.75% due 11/1/2022 pre-refunded 5/1/2020 (Towne Center Access and Utility Improvements)	AA-/NR		1,000,000		1,104,040
Utah Transit Authority, 5.00% due 6/15/2033 (Integrated Mass Transit System)	A+/A1		1,000,000		1,128,950
WASHINGTON — 1.71%
Skagit County Public Hospital District No. 1, 5.75% due 12/1/2028 pre-refunded 12/1/2017 (Skagit Valley Hospital)	NR/Baa2		1,510,000		1,559,709

12    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Washington Health Care Facilities Authority, 5.70% due 7/1/2038 (Overlake Hospital Medical Center)		A/A2	$	1,000,000	$	1,097,800
Washington Health Care Facilities Authority, 5.75% due 1/1/2045 (Catholic Health Initiatives)		BBB+/Baa1		2,000,000		2,149,360
WISCONSIN — 0.35%
Wisconsin Health & Educational Facilities Authority, 1.25% due 8/15/2025 put 8/15/2017 (Aurora Health Care, Inc.)		NR/A2		1,000,000		999,880
TOTAL INVESTMENTS — 98.94% (Cost $267,073,055)					$	278,653,674
OTHER ASSETS LESS LIABILITIES — 1.06%						2,982,728
NET ASSETS — 100.00%					$	281,636,402

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ABAG	Association of Bay Area Governments
ACA	Insured by American Capital Access
AGM	Insured by Assured Guaranty Municipal Corp.
AMBAC	Insured by American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax
BAM	Insured by Build America Mutual Insurance Co.
BHAC	Insured by Berkshire Hathaway Assurance Corp.
CIFG	Insured by CIFG Assurance North America Inc.
COP	Certificates of Participation
DFA	Development Finance Authority
EDA	Economic Development Authority

ETM	Escrowed to Maturity
GO	General Obligation
HFA	Health Facilities Authority
HFFA	Health Facilities Financing Authority
IDA	Industrial Development Authority
Mtg	Mortgage
Natl-Re	Insured by National Public Finance Guarantee Corp.
Q-SBLF	Insured by Qualified School Bond Loan Fund
Syncora	Insured by Syncora Guarantee Inc.
USD	Unified School District

See notes to financial statements.

Semi-Annual Report     13

Statement of Assets and Liabilities
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (cost $267,073,055) (Note 3)	$	278,653,674
Cash		177,391
Receivable for investments sold		100,000
Receivable for fund shares sold		654,322
Interest receivable		3,167,237
Prepaid expenses and other assets		54,151
Total Assets		282,806,775
LIABILITIES
Payable for fund shares redeemed		906,686
Payable to investment advisor and other affiliates (Note 4)		154,051
Accounts payable and accrued expenses		58,337
Dividends payable		51,299
Total Liabilities		1,170,373
NET ASSETS	$	281,636,402
NET ASSETS CONSIST OF
Undistributed net investment income	$	3,595
Net unrealized appreciation on investments		11,580,619
Accumulated net realized gain (loss)		(2,303,965	)
Net capital paid in on shares of beneficial interest		272,356,153
	$	281,636,402
NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($64,797,279 applicable to 4,341,197 shares of beneficial interest outstanding - Note 5)	$	14.93
Maximum sales charge, 2.00% of offering price		0.30
Maximum offering price per share	$	15.23
Class C Shares:
Net asset value and offering price per share* ($35,621,314 applicable to 2,384,055 shares of beneficial interest outstanding - Note 5)	$	14.94
Class I Shares:
Net asset value, offering and redemption price per share ($181,217,809 applicable to 12,129,494 shares of beneficial interest outstanding - Note 5)	$	14.94

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. See notes to financial statements.

See notes to financial statements.

14    Semi-Annual Report

Statement of Operations
Thornburg Strategic Municipal Income Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Interest income (net of premium amortized of $1,067,245)	$	4,900,950
EXPENSES
Investment advisory fees (Note 4)		1,098,147
Administration fees (Note 4)
Class A Shares		45,383
Class C Shares		23,259
Class I Shares		45,753
Distribution and service fees (Note 4)
Class A Shares		90,766
Class C Shares		110,806
Transfer agent fees
Class A Shares		29,057
Class C Shares		12,405
Class I Shares		61,775
Registration and filing fees
Class A Shares		8,379
Class C Shares		8,385
Class I Shares		8,305
Custodian fees (Note 2)		32,440
Professional fees		24,557
Accounting fees (Note 4)		4,789
Trustee fees		7,280
Other expenses		18,623
Total Expenses		1,630,109
Less:
Expenses reimbursed by investment advisor (Note 4)		(39,834	)
Investment advisory fees waived by investment advisor (Note 4)		(69,151	)
Net Expenses		1,521,124
Net Investment Income		3,379,826
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments		(2,224,774	)
Net change in unrealized appreciation (depreciation) on investments		(9,709,086	)
Net Realized and Unrealized Loss		(11,933,860	)
Net Decrease in Net Assets Resulting from Operations	$	(8,554,034	)

See notes to financial statements.

Semi-Annual Report    15

Statement of Changes in Net Assets

Thornburg Strategic Municipal Income Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	3,379,826		$	6,298,959
Net realized gain (loss) on investments		(2,224,774	)		(14,740	)
Net unrealized appreciation (depreciation) on investments		(9,709,086	)		6,349,988
Net Increase (Decrease) in Net Assets Resulting from Operations		(8,554,034	)		12,634,207
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(788,369	)		(1,518,969	)
Class C Shares		(338,966	)		(621,799	)
Class I Shares		(2,252,249	)		(4,158,191	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(11,120,351	)		10,728,657
Class C Shares		(1,643,332	)		8,907,855
Class I Shares		(2,155,328	)		34,729,848
Net Increase (Decrease) in Net Assets		(26,852,629	)		60,701,608
NET ASSETS
Beginning of Period		308,489,031			247,787,423
End of Period	$	281,636,402		$	308,489,031
Undistributed net investment income	$	3,595		$	3,353

* Unaudited.

See notes to financial statements.

16    Semi-Annual Report

Notes to Financial Statements
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg Strategic Municipal Income Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment objective is to seek a high level of current income exempt from federal individual income tax.

The Fund currently offers three classes of shares of beneficial interest outstanding: Class A, Class C, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unre-alized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed neces-sary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s invest-ment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	267,073,055
Gross unrealized appreciation on a tax basis	$	12,782,732
Gross unrealized depreciation on a tax basis		(1,202,113	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	11,580,619

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $50,792. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $28,398, (of which $10,848 are short-term and $17,550 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carry-forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valua-tions, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

18     Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

Valuation of Securities: Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market partici-pants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquid-ity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities
Municipal Bonds	$	278,653,674	$	—	$	278,653,674	$	—
Total Investments in Securities	$	278,653,674	$	—	$	278,653,674	$	—

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017.

Semi-Annual Report    19

Notes to Financial Statements, Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a manage-ment fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.750	%
Next $500 million		0.675
Next $500 million		0.625
Next $500 million		0.575
Over $2 billion		0.500

The Fund’s effective management fee for the six months ended March 31, 2017 was 0.75% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $4,789 to the Advisor for these accounting services. The Trust has also entered into administrative ser-vice agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $755 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $1,730 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Distributor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A and Class C shares of the Fund for payments made by the Distributor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I shares. The Advisor and the Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and share-holder services.

The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C shares.

Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year in which the waivers or reimbursements occurred.

For the six months ended March 31, 2017, the Advisor contractually waived Fund level investment advisory fees of $69,151. The Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $24,888 for Class A shares, $12,707 for Class C shares, and $2,239 for Class I.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by appointed Trustees and Officers of the Trust and the Advisor is approximately 7.91%.

20    Semi-Annual Report

Notes To Financial Statements, Continued
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

The Fund may purchase or sell securities from or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had no transactions with affiliated funds.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		885,229		$	13,294,108			1,882,295		$	29,048,882
Shares issued to shareholders in reinvestment of dividends		50,344			753,739			91,530			1,411,031
Shares repurchased		(1,686,405	)		(25,168,198	)		(1,283,224	)		(19,731,256	)
Net increase (decrease)		(750,832	)	$	(11,120,351	)		690,601		$	10,728,657
Class C Shares
Shares sold		381,764		$	5,724,949			1,073,899		$	16,569,930
Shares issued to shareholders in reinvestment of dividends		20,809			311,829			36,232			559,203
Shares repurchased		(513,269	)		(7,680,110	)		(531,309	)		(8,221,278	)
Net increase (decrease)		(110,696	)	$	(1,643,332	)		578,822		$	8,907,855
Class I Shares
Shares sold		3,698,402		$	55,227,905			5,173,837		$	79,887,572
Shares issued to shareholders in reinvestment of dividends		136,617			2,047,664			235,073			3,628,305
Shares repurchased		(3,973,590	)		(59,430,897	)		(3,157,683	)		(48,786,029	)
Net increase (decrease)		(138,571	)	$	(2,155,328	)		2,251,227		$	34,729,848

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $34,330,295 and $45,800,388, respectively.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, high yield risk, derivatives risk, market and economic risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks asso-ciated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    21

Financial Highlights

        Thornburg Strategic Municipal Income Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+		NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS		TOTAL  FROM INVESTMENT OPERATIONS		DIVIDENDS FROM NET INVESTMENT INCOME		DIVIDENDS FROM NET REALIZED GAINS		TOTAL DIVIDENDS		NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)		PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)		$15.53		0.16		(0.60)		(0.44)		(0.16)		–		(0.16)		$14.93		2.17	(d)		1.22	(d)		1.22	(d)		1.29	(d)		(2.81)		13.12		$64,797
2016(c)		$15.16		0.33		0.37		0.70		(0.33)		–		(0.33)		$15.53		2.11			1.25			1.25			1.29			4.63		11.24		$79,058
2015(c)		$15.19		0.35		(0.02)		0.33		(0.35)		(0.01)		(0.36)		$15.16		2.28			1.25			1.25			1.31			2.18		12.13		$66,722
2014(c)		$14.40		0.41		0.85		1.26		(0.42)		(0.05)		(0.47)		$15.19		2.82			1.25			1.25			1.31			8.93		21.89		$61,424
2013(c)		$15.17		0.41		(0.74)		(0.33)		(0.41)		(0.03)		(0.44)		$14.40		2.74			1.25			1.25			1.31			(2.21)		37.42		$52,278
2012(c)		$14.06		0.49		1.13		1.62		(0.50)		(0.01)		(0.51)		$15.17		3.34			1.25			1.25			1.31			11.71		12.52		$65,446
CLASS C SHARES
2017(b)		$15.54		0.14		(0.60)		(0.46)		(0.14)		–		(0.14)		$14.94		1.82	(d)		1.57	(d)		1.57	(d)		1.64	(d)		(2.98)		13.12		$35,621
2016		$15.17		0.28		0.37		0.65		(0.28)		–		(0.28)		$15.54		1.80			1.55			1.55			1.66			4.32		11.24		$38,773
2015		$15.20		0.30		(0.02)		0.28		(0.30)		(0.01)		(0.31)		$15.17		1.98			1.55			1.55			1.70			1.87		12.13		$29,073
2014		$14.41		0.37		0.84		1.21		(0.37)		(0.05)		(0.42)		$15.20		2.53			1.55			1.55			1.72			8.60		21.89		$26,168
2013		$15.18		0.37		(0.74)		(0.37)		(0.37)		(0.03)		(0.40)		$14.41		2.44			1.55			1.55			1.73			(2.50)		37.42		$21,344
2012		$14.07		0.45		1.12		1.57		(0.45)		(0.01)		(0.46)		$15.18		3.04			1.55			1.55			1.78			11.38		12.52		$23,521
CLASS I SHARES
2017(b)		$15.54		0.18		(0.60)		(0.42)		(0.18)		–		(0.18)		$14.94		2.46	(d)		0.93	(d)		0.93	(d)		0.94	(d)		(2.67)		13.12		$181,218
2016		$15.17		0.38		0.37		0.75		(0.38)		–		(0.38)		$15.54		2.42			0.93			0.93			0.93			4.96		11.24		$190,658
2015		$15.20		0.39		(0.01)		0.38		(0.40)		(0.01)		(0.41)		$15.17		2.60			0.93			0.93			0.93			2.50		12.13		$151,992
2014		$14.41		0.46		0.85		1.31		(0.47)		(0.05)		(0.52)		$15.20		3.12			0.94			0.93			0.94			9.27		21.89		$137,109
2013		$15.18		0.45		(0.73)		(0.28)		(0.46)		(0.03)		(0.49)		$14.41		3.04			0.95			0.95			0.96			(1.92)		37.42		$89,262
2012		$14.07		0.53		1.13		1.66		(0.54)		(0.01)		(0.55)		$15.18		3.62			0.95			0.95			0.95			12.03		12.52		$92,386

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

22    Semi-Annual Report Semi-Annual Report    23

Expense Example
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT  VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	971.90	$	6.00
Hypothetical*	$	1,000.00	$	1,018.85	$	6.14
CLASS C SHARES
Actual	$	1,000.00	$	970.19	$	7.73
Hypothetical*	$	1,000.00	$	1,017.08	$	7.91
CLASS I SHARES
Actual	$	1,000.00	$	973.30	$	4.60
Hypothetical*	$	1,000.00	$	1,020.27	$	4.70

† Expenses are equal to the annualized expense ratio for each class (A: 1.22%; C: 1.57%; I: 0.93%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

24    Semi-Annual Report

Other Information
Thornburg Strategic Municipal Income Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg. com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the pre-ceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    25

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task—our principal obligation to you—is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your inter-ests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

26    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U .S . Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg ..com

Thornburg Investment Management, Inc . 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report     27

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH1979

About Thornburg Investment Management It’s more than what we do. It’s how we do it. At Thornburg, we are very different in how we think, invest, and are structured. We believe this difference is what makes us successful in helping individuals reach their long-term financial goals. How we Flexible Perspective Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value. Collaboration Collectively, we hone ideas via borderless cross-pollination for better judgment and better results. Portfolio Construction Disciplined construction guided more by our convictions than convention. CONVICTION Thorough analysis and our relative-value framework lead to conviction in our securities selection. UNCONVENTIONAL Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point. Structured for Excellence How we think and how we invest is made possible by how we’re structured. TEAM APPROACH FAR FROM THE HERD ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg California Limited Term Municipal Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	16
Statement of Operations	17
Statements of Changes in Net Assets	18
Notes to Financial Statements	19
Financial Highlights	24
Expense Example	25
Other Information	26
Trustees’ Statement to Shareholders	27

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	LTCAX	885-215-426
Class C	LTCCX	885-215-418
Class I	LTCIX	885-215-392

Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

Diversification does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

Semi-Annual Report    3

Letter to Shareholders

Thornburg California Limited Term Municipal Fund March 31, 2017 (Unaudited)

April 28, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg California Limited Term Municipal Fund. The net asset value (NAV) of the Class A shares decreased by 33 cents to $13.65 per share during the six-month period ended March 31, 2017. If you were with us the entire period, you received dividends of 8.89 cents per share. If you reinvested your dividends, you received 8.92 cents per share. Dividends were lower for Class C shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund underperformed the index with a negative 1.72% total return (without sales charge) for the six months ended March 31, 2017, compared to the negative 0.90% return for the BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index.

The Fund’s duration and curve positioning detracted 0.03% from performance. Credit allocations detracted 0.06%, and other risk factors detracted 0.26%. Fund expenses accounted for the remaining differences.

The Municipal Bond Market

After a few years of relative quiet in the municipal bond market, things heated up following the election of Donald Trump in 2016. While stocks were rallying, bond prices, even municipal bond prices, came under pressure. Bond yields initially rose after the election based on expectations for greater infrastructure spending, stronger growth and higher inflation. The uptick in rates led mutual fund investors to sell their shares, which caused municipal bond mutual funds to sell their bonds to meet those redemptions. After significant inflows in January to September of 2016, investors pulled $26 billion from municipal bond funds in November and December, some of which was related to tax-loss selling.

When the calendar turned in 2017, these outflows slowed and the municipal bond market produced positive returns. A contributing factor to positive returns was a decline in municipal bond issuance, as during the first quarter of 2017, the supply of new municipal bonds declined by 12% from the same time last year.

The value metrics we use at Thornburg suggest that the municipal bond market continues to price in the rosiest of scenarios moving forward, as investors have been pushed out of the risk spectrum. That is why we have Thornburg California Limited Term Municipal Fund positioned in the lower end of its respective risk spectrum. In this environment, we continue to keep duration shorter, credit quality higher and we maintain higher levels of reserves.

Inside the Risk Metrics

Real yields, which indicate how much yield over inflation investors are being paid to own municipal bonds, increased over the six-month period. As of September 30, 2016, 10-year AAA general obligation (GO) bonds were yielding 1.64% and the Core Personal Consumption Expenditures Index (PCE) was running at 1.70%, so investors were earning less than inflation. By the end of February 2017, the yield on 10-year AAA GO bonds had increased to 2.30%, while Core PCE was running at 1.80%. While certainly more interesting at the end of the period, the 0.5% real yield was significantly less than the average of 2% investors have earned over the past 20 years.

The second thing to consider is credit spreads, which reflect the incremental yield an investor earns from owning a lower-rated credit versus a higher-rated credit, and which today remain narrow. As of March 31, 2017, an investor earned about 1.28% more for owning a 10-year BBB revenue bond versus a 10-year AAA GO bond. That is slightly higher than the average 0.75% an investor earned between 1994 and 2007. However, in 2007, approximately 50% of the new-issue municipal bond market was insured by AAA/AAA municipal bond insurers. Today, there are no AAA/AAA municipal bond insurers, and insurance coverage generally accounts for only 6% to 8% of the new-issue municipal bond market.

Finally, the slope of the yield curve, which tracks how much incremental yield an investor earns by owning securities with longer maturities, is slightly flatter than historical averages. Currently, investors are earning about 1.4% more for owning a 10-year AAA GO municipal bond, versus a one-year AAA GO municipal bond. Since 1994, an investor earned on average almost 1.6% to extend maturities from one to 10 years.

The Economy and Tax Reform

The U.S. economy continued its slow recovery in 2016, growing at a rate of 1.6% for 2016 in aggregate.

Unemployment continued to tick down. During the six-month period ended March 31, 2017, the U.S. economy added 976,000 jobs and by the end of the period the unemployment rate had fallen to 4.5%. Inflation remained stable, with the Core PCE Index reading 1.75% through March, below the Fed’s 2% target range.

Taken in aggregate, the economy continues to grow, jobs are being added and inflation has remained contained to date. In an effort to keep the economy in check, the U.S. Federal Reserve raised the Fed funds rate in December of 2016, and again in March of 2017.

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

The economic health of the municipal bond market appears steady with a couple of notable exceptions. The drama in Puerto Rico is still playing out; the only winners are the consultants and lawyers hired by all sides.

California’s economic health is still quite good. For the period from Q4 2015 to Q4 2016 (latest data available) personal income is up 4.6%, employment is up 2.19% and home prices are up 6.58%. Alas, all is not sunny there. Tax revenues are down 0.44%. All in all, California seems on firm footing, but there is a risk that the legislature might want to spend these monies (as they usually do) versus continuing with Governor Brown’s program of conservative fiscal stewardship. Imagine the irony of calling “Governor Moonbeam” a fiscal conservative.

Tax reform is the second highest priority of President Trump’s and the Republican-led House second only to health care reform. The most important items in the tax proposals for the owners of municipal bonds (individuals as well as corporations) are those relevant to investment income. By lowering the effective tax rate on competing sources of income, prices of municipal bonds would most likely fall (yields would increase) to become more competitive with these alternative sources of income.

President Trump’s tax reform proposal (released Thursday, April 27, 2017) called for the elimination of the deduction for state and local taxes on an individual’s federal tax return. This would, if adopted, have significant impacts for residents of high-tax states. California is one of those states with a top marginal income tax rate of 13.3%. The near-term effects on the economy would be minimal, but long term, residents would have less money in their pockets to spend, the cost of residing in the state would increase and might cause out-migration and lower growth.

Conclusion

We continue to run this portfolio as an actively managed laddered portfolio. Laddering a portfolio is a simple way to diversify its investment along its entire investment universe. While past performance does not guarantee future results, our study showed that this structure outperformed other structures around 60% of the time and added 0.15% to 0.25% of total return annually from 1997 through 2016.* Our view is that the current investment environment is not compensating investors enough to take on extra risk, so we have positioned our portfolios at the lower end of their risk spectrums.

Thank you for your continued trust in us.

Sincerely,

Christopher Ryon,CFA	Nicholos Venditti,CFA
Portfolio Manager	Portfolio Manager
Managing Director	Managing Director

* We examined three hypothetical portfolios of bonds from December 1997 to December 2016. One using a laddering strategy, one using a barbell strategy, and a third using a bullet strategy. For the laddering strategy, the BofA Merrill Lynch 1–12 Year Municipal Index was used as a proxy, since, similar to a ladder, it contains bonds relatively evenly spread across all maturities within the index. The barbell strategy is a duration management technique wherein bonds are clustered at the two extremes of a maturity range. For the barbell strategy, the BofA Merrill Lynch 1–3 Year Municipal Index and BofA Merrill Lynch 8–12 Year Municipal Index were combined. The two indices were weighted in such a way as to give them the same duration as the broader 1–12 Year Index, and each year the portfolio was re-weighted back to the original index weights. This was done to make the two portfolios duration-neutral so that the impact of the strategy chosen could be isolated. The bullet strategy invests at the duration midpoint of the portfolio, therefore the BofA Merrill Lynch 6–8 Year Index was used to represent the bullet strategy. For additional information, see www.thornburg.com/whyladder. Past performance does not guarantee future results.

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg California Limited Term Municipal Fund
	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
A Shares (Incep: 2/19/87)
Without sales charge		-0.82	%		1.39	%		1.64	%		3.07	%		4.26	%
With sales charge		-2.29	%		0.87	%		1.33	%		2.92	%		4.20	%
C Shares (Incep: 9/1/94)
Without sales charge		-1.06	%		1.14	%		1.39	%		2.81	%		3.22	%
With sales charge		-1.55	%		1.14	%		1.39	%		2.81	%		3.22	%
I Shares (Incep: 4/1/97)		-0.59	%		1.70	%		1.95	%		3.40	%		3.71	%

30-DAY YIELDS, A SHARES

(with sales charge)

Annualized Distribution Yield	1.24	%
SEC Yield	0.70	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 1.50%. Class C shares include a 0.50% CDSC for the first year only. There is no sales charge for Class I shares. As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 0.93%; C shares, 1.18%; I shares, 0.62%.

Glossary

The BofA Merrill Lynch 1-10 Year Municipal Securities Index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 years.

The BofA Merrill Lynch indices used in the Ladder vs Barbell & Bullet study are model portfolios of municipal obligations throughout the United States, with maturities ranging either from one to three years, six to eight years, eight to twelve years, or one to twelve years. These indices are subsets of the BofA Merrill Lynch U.S. Municipal Securities Index, which is comprised of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least a one-year remaining term to final maturity, a fixed coupon schedule and an investment grade rating.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.

Bond Credit Ratings (Credit Quality) – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Insured Bonds – Individual bonds are sometimes insured by private companies. The insurance guarantees the payment of principal and interest on a bond issue if the issuer defaults. Mutual funds are not insured, even if the underlying bonds are insured.

Core Personal Consumption Expenditure Index (Core PCE) – Core Personal Consumption Expenditure Index is a measure of the Personal Consumption Expenditure Index that excludes the more volatile and seasonal food and energy prices.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.

General Obligation Bond (GO) – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.

Laddering – Laddering involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.

Revenue Bond – A bond on which the debt service is payable solely from the revenue generated from the operation of the project being financed or a category of facilities, or from other non-tax sources.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

6    Semi-Annual Report

Fund Summary
Thornburg California Limited Term Municipal Fund	March 31, 2013 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal and California state individual income taxes as is consistent, in the view of the Fund’s investment advisor, with preservation of capital.

The secondary goal of the Fund is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.

As described in the Fund’s prospectus, the Fund offers California investors double tax-free yields (may be subject to Alternative Minimum Tax) in a laddered municipal bond portfolio with a dollar-weighted average maturity of normally less than five years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard this strategy as a good compromise for managing different types of risk.

LONG-TERM STABILITY OF PRINCIPAL

Net Asset Value History of A Shares

KEY PORTFOLIO ATTRIBUTES

Number of Bonds	390
Effective Duration	3.2 Yrs
Average Maturity	4.5 Yrs

SECURITY CREDIT RATINGS

A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.

PORTFOLIO LADDER

Percent of portfolio maturing in each year. Cash includes cash equivalents and other.

There is no guarantee that the Fund will meet its investment objectives.

All data is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    7

Schedule of Investments
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
ABAG Finance Authority for Nonprofit Corporations, 0.87% due 8/1/2024 put 4/7/2017 (Sharp HealthCare; LOC: Bank of America, N.A.) (weekly demand notes)	AA+/Aa1	$	20,700,000	$	20,700,000
Alameda County Joint Powers Authority, 5.00% due 12/1/2018 (Alameda County Medical Center Highland Hospital)	AA/Aa1		400,000		426,616
Alameda County Joint Powers Authority, 5.00% due 12/1/2019 (Alameda County Medical Center Highland Hospital)	AA/Aa1		750,000		824,557
Alameda County Joint Powers Authority, 5.00% due 12/1/2019 (Juvenile Justice)	AA/Aa1		3,010,000		3,309,224
Alameda County Joint Powers Authority, 5.00% due 12/1/2020 (Alameda County Medical Center Highland Hospital)	AA/Aa1		725,000		818,597
Alameda County Joint Powers Authority, 5.00% due 12/1/2020 (Juvenile Justice)	AA/Aa1		3,200,000		3,613,120
Alameda County Joint Powers Authority, 5.00% due 12/1/2021 (Juvenile Justice)	AA/Aa1		500,000		577,065
Alameda County Joint Powers Authority, 5.00% due 12/1/2021 (Public Facilities Capital Projects)	AA/Aa1		1,000,000		1,154,130
Alameda County Joint Powers Authority, 5.00% due 12/1/2024 (Alameda County Medical Center Highland Hospital)	AA/Aa1		2,500,000		2,936,850
Anaheim Public Financing Authority, 0.01% due 9/1/2022 (Public Improvements; Insured: AGM)	AA/A2		3,000,000		2,596,650
Bay Area Toll Authority, 1.49% due 4/1/2047 put 10/1/2019 (San Francisco Bay Area Toll Bridge) (weekly demand notes)	AA/Aa3		5,000,000		4,999,650
Bay Area Toll Authority, 1.50% due 4/1/2047 put 4/2/2018 (San Francisco Bay Area Toll Bridge)	AA/Aa3		1,200,000		1,202,532
Bay Area Toll Authority, 2.95% due 4/1/2047 (San Francisco Bay Area Toll Bridge)	AA/Aa3		4,775,000		4,892,560
Bonita USD GO, 5.00% due 8/1/2024 (Educational Facilities)	AA-/NR		1,000,000		1,158,790
Brea Redevelopment Agency, 5.00% due 8/1/2019 (Redevelopment Project AB)	AA-/NR		2,000,000		2,167,160
Brentwood Infrastructure Financing Authority, 4.00% due 9/2/2017 (Residential Single Family Development; Insured: AGM)	AA/NR		920,000		932,043
Brentwood Infrastructure Financing Authority, 5.00% due 9/2/2020 (Residential Single Family Development; Insured: AGM)	AA/NR		1,760,000		1,966,395
Brentwood Infrastructure Financing Authority, 5.00% due 9/2/2021 (Residential Single Family Development; Insured: AGM)	AA/NR		925,000		1,057,626
Brentwood Infrastructure Financing Authority, 5.00% due 9/2/2022 (Residential Single Family Development; Insured: AGM)	AA/NR		850,000		984,410
Brentwood Infrastructure Financing Authority, 5.00% due 9/2/2023 (Residential Single Family Development; Insured: AGM)	AA/NR		2,690,000		3,159,001
Calexico USD COP, 6.75% due 9/1/2017	A-/NR		840,000		858,959
California Educational Facilities Authority, 5.00% due 4/1/2018 (Pitzer College)	NR/A2		1,540,000		1,601,230
California Educational Facilities Authority, 0.01% due 10/1/2019 (Loyola Marymount University; Insured: Natl-Re)	NR/A2		2,025,000		1,951,938
California Educational Facilities Authority, 5.00% due 4/1/2020 (Pitzer College)	NR/A2		1,445,000		1,592,376
California Educational Facilities Authority, 5.00% due 4/1/2022 (Chapman University)	NR/A2		2,000,000		2,249,660
California HFFA, 5.50% due 10/1/2017 (Providence Health and Services)	AA-/Aa3		1,100,000		1,125,190
California HFFA, 5.50% due 2/1/2018 (Community Program Developmental Disabilities; Insured: California Mtg Insurance)	AA-/NR		2,715,000		2,816,514
California HFFA, 6.00% due 10/1/2018 (Providence Health and Services)	AA-/Aa3		1,000,000		1,072,850
California HFFA, 5.00% due 11/15/2018 (Children’s Hospital Los Angeles)	BBB+/Baa2		1,235,000		1,307,643
California HFFA, 5.10% due 2/1/2019 (Episcopal Home; Insured: California Mtg Insurance) (ETM)	AA-/NR		530,000		557,094
California HFFA, 5.00% due 11/15/2020 (Children’s Hospital Los Angeles)	BBB+/Baa2		1,190,000		1,326,041
California HFFA, 5.25% due 3/1/2022 (Dignity Health)	A/A3		1,000,000		1,128,160
California HFFA, 5.00% due 11/15/2023 (Children’s Hospital Los Angeles)	BBB+/Baa2		1,000,000		1,138,080
California HFFA, 5.00% due 7/1/2024 (St. Joseph Health System)	AA-/Aa3		1,000,000		1,173,810
California HFFA, 0.80% due 9/1/2028 put 4/3/2017 (Adventist Health System/West; LOC: U.S. Bank, N.A.) (daily demand notes)	AA-/Aa2		8,300,000		8,300,000
California HFFA, 5.00% due 7/1/2034 put 10/18/2022 (St. Joseph Health System)	AA-/Aa3		2,000,000		2,286,480
California HFFA, 5.00% due 7/1/2043 put 10/17/2017 (St. Joseph Health System)	AA-/Aa3		3,000,000		3,064,380
California HFFA, 5.00% due 7/1/2043 put 10/15/2020 (St. Joseph Health System)	AA-/Aa3		5,000,000		5,576,700
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2018 (The Scripps Research Institute)	NR/A1		200,000		210,064
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2019 (The Scripps Research Institute)	NR/A1		200,000		216,632
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2020 (The Scripps Research Institute)	NR/A1		200,000		222,320
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2021 (The Scripps Research Institute)	NR/A1		200,000		227,738
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2022 (The Scripps Research Institute)	NR/A1		200,000		231,110
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2023 (The Scripps Research Institute)	NR/A1		175,000		204,691
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2024 (The Scripps Research Institute)	NR/A1		200,000		236,746
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2025 (The Scripps Research Institute)	NR/A1		200,000		238,542
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2026 (The Scripps Research Institute)	NR/A1		200,000		240,420
California Infrastructure and Economic Development Bank, 5.00% due 7/1/2027 (The Scripps Research Institute)	NR/A1		250,000		296,895
California Municipal Finance Authority, 5.00% due 10/1/2021 (Biola University Residential Hall and Parking Structure)	NR/Baa1		150,000		166,169
California Municipal Finance Authority, 5.00% due 10/1/2022 (Biola University Residential Hall and Parking Structure)	NR/Baa1		160,000		179,235
California Municipal Finance Authority, 5.00% due 10/1/2023 (Biola University Residential Hall and Parking Structure)	NR/Baa1		125,000		141,200
California Pollution Control Financing Authority, 5.25% due 6/1/2023 put 12/1/2017 (Solid Waste Disposal-Republic Services, Inc.) (AMT)	BBB+/Baa3		2,820,000		2,881,166
California State Housing Finance Agency, 3.05% due 12/1/2019 (Multi-Family Housing; Insured: FHA)	NR/Aa1		735,000		735,926
California State Infrastructure & Economic Development Bank, 5.25% due 8/15/2020 (King City High School)	AA-/NR		1,000,000		1,104,350
California State Public Works Board, 5.00% due 6/1/2020 (University of California; Insured: Natl-Re) (ETM)	AA+/Aaa		1,185,000		1,321,808
California State Public Works Board, 5.125% due 3/1/2021 (Various State Participating Agency Capital Projects)	A+/A1		1,635,000		1,804,680
California State Public Works Board, 5.00% due 12/1/2021 (Judicial Council Projects)	A+/A1		3,100,000		3,567,480
California State Public Works Board, 5.00% due 4/1/2022 (California School for the Deaf Riverside Campus)	A+/A1		565,000		652,631
California State Public Works Board, 5.00% due 6/1/2022 (Yuba City Courthouse)	A+/A1		1,950,000		2,259,406
California State Public Works Board, 5.00% due 9/1/2022 (Correctional and Rehabilitation Facilities)	A+/A1		3,250,000		3,782,545
California State Public Works Board, 5.00% due 11/1/2022 (Correctional and Rehabilitation Facilities)	A+/A1		1,500,000		1,750,800
California State Public Works Board, 5.00% due 12/1/2022 (Judicial Council Projects)	A+/A1		1,200,000		1,368,360
California State Public Works Board, 5.00% due 3/1/2023 (Judicial Council Projects)	A+/A1		1,400,000		1,636,824

8     Semi-Annual Report

Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
California State Public Works Board, 5.00% due 6/1/2023 (Coalinga State Hospital)	A+/A1	$	7,200,000	$	8,453,664
California State Public Works Board, 5.00% due 9/1/2023 (Correctional and Rehabilitation Facilities)	A+/A1		3,600,000		4,244,112
California State Public Works Board, 5.00% due 11/1/2023 (Laboratory Facility and San Diego Courthouse)	A+/A1		3,000,000		3,546,060
California State Public Works Board, 5.00% due 3/1/2024 (Judicial Council Projects)	A+/A1		1,000,000		1,160,970
California State Public Works Board, 5.00% due 4/1/2024 (Correctional and Rehabilitation Facilities)	A+/A1		3,350,000		3,838,832
California State Public Works Board, 5.00% due 9/1/2024 (Correctional and Rehabilitation Facilities)	A+/A1		3,580,000		4,272,300
California State Public Works Board, 5.00% due 11/1/2024 (Laboratory Facility and San Diego Courthouse)	A+/A1		4,000,000		4,702,440
California Statewide Communities Development Authority, 4.00% due 5/15/2017 (Irvine East Campus Apartments)	NR/Baa1		2,000,000		2,006,620
California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Foundation Hospitals)	AA-/NR		3,715,000		4,000,089
California Statewide Communities Development Authority, 5.00% due 7/1/2020 pre-refunded 1/1/2019 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC)	NR/NR		890,000		925,475
California Statewide Communities Development Authority, 5.00% due 11/1/2020 (Cottage Health System)	A+/NR		100,000		111,965
California Statewide Communities Development Authority, 5.00% due 5/15/2021 (Irvine East Campus Apartments)	NR/Baa1		760,000		843,980
California Statewide Communities Development Authority, 4.00% due 11/1/2021 (Cottage Health System)	A+/NR		150,000		164,960
California Statewide Communities Development Authority, 5.00% due 11/1/2022 (Cottage Health System)	A+/NR		125,000		145,684
California Statewide Communities Development Authority, 5.00% due 11/1/2023 (Cottage Health System)	A+/NR		150,000		177,251
California Statewide Communities Development Authority, 5.00% due 5/15/2024 (Irvine East Campus Apartments)	NR/Baa1		1,000,000		1,148,300
California Statewide Communities Development Authority, 5.00% due 11/1/2024 (Cottage Health System)	A+/NR		200,000		237,374
California Statewide Communities Development Authority, 5.00% due 11/1/2025 (Cottage Health System)	A+/NR		135,000		158,857
California Statewide Communities Development Authority, 5.00% due 5/15/2027 (Irvine East Campus Apartments)	NR/Baa1		500,000		574,035
California Statewide Communities Development Authority, 2.625% due 11/1/2033 (Southern California Edison Company)	A/Aa3		4,195,000		4,250,584
Calipatria USD GO, 0% due 8/1/2025 (Educational Facilities; Insured: ACA)	NR/NR		4,555,000		3,137,302
Carson Redevelopment Agency, 6.00% due 10/1/2019 (Project Area 1) (ETM)	A-/NR		1,050,000		1,151,514
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re)	AA-/NR		615,000		590,025
CDC Successor Agency of the City of Santee, 5.00% due 8/1/2023 (Redevelopment and Low and Moderate Income Housing; Insured: BAM)	AA/NR		500,000		578,625
CDC Successor Agency of the City of Santee, 5.00% due 8/1/2025 (Redevelopment and Low and Moderate Income Housing; Insured: BAM)	AA/NR		550,000		645,238
CDC Successor Agency of the City of Santee, 5.00% due 8/1/2027 (Redevelopment and Low and Moderate Income Housing; Insured: BAM)	AA/NR		1,000,000		1,174,480
Central Valley Financing Authority, 5.25% due 7/1/2020 (Carson Ice)	AA-/Aa3		500,000		559,415
Chabot-Las Positas Community College District GO, 4.00% due 8/1/2019 (Educational Facilities)	AA-/Aa2		360,000		383,418
Chabot-Las Positas Community College District GO, 5.00% due 8/1/2020 (Educational Facilities)	AA-/Aa2		485,000		543,593
Chabot-Las Positas Community College District GO, 5.00% due 8/1/2021 (Educational Facilities)	AA-/Aa2		400,000		459,176
City and County of San Francisco COP, 5.00% due 9/1/2018 (City Office Buildings-Multiple Properties Project; Insured: Natl- Re)	AA/Aa2		5,000		5,017
City and County of San Francisco COP, 5.00% due 11/1/2022 (525 Golden Gate Avenue-Public Utilities Commission Office Project)	AA/Aa2		700,000		761,649
City of Antioch Public Financing Authority, 5.00% due 5/1/2022 (Municipal Facilities Project)	AA-/NR		500,000		575,125
City of Antioch Public Financing Authority, 5.00% due 5/1/2024 (Municipal Facilities Project)	AA-/NR		900,000		1,062,945
City of Burbank, 5.00% due 6/1/2017 (Burbank Water and Power System)	AA-/A1		1,000,000		1,007,020
City of Burbank, 5.00% due 6/1/2018 (Burbank Water and Power System)	AA-/A1		360,000		376,744
City of Burbank, 5.00% due 6/1/2020 (Burbank Water and Power System)	AA-/A1		625,000		695,712
City of Chula Vista, 1.65% due 7/1/2018 (San Diego Gas & Electric Co.)	A+/Aa2		3,500,000		3,502,065
City of Chula Vista COP, 5.25% due 3/1/2020 (Capital Facilities Project) (ETM)	AA-/NR		1,300,000		1,448,746
City of Chula Vista COP, 5.00% due 10/1/2024 (Police Facility Project)	AA-/Aa3		1,700,000		1,999,489
City of Clovis, 5.00% due 3/1/2021 (Water System Facilities; Insured: BAM)	AA/A1		550,000		617,974
City of Clovis, 5.00% due 3/1/2022 (Water System Facilities; Insured: BAM)	AA/A1		720,000		822,672
City of Clovis, 5.00% due 3/1/2023 (Water System Facilities; Insured: BAM)	AA/A1		1,000,000		1,156,260
City of Folsom, 5.00% due 12/1/2018 (Community Facilities District No. 2)	A+/NR		965,000		1,024,705
City of Los Angeles Community Facilities District No. 4, 4.00% due 9/1/2017 (Playa Vista — Phase 1)	BBB+/NR		500,000		505,425
City of Los Angeles COP, 3.00% due 11/1/2030 put 2/1/2018 (American Academy of Dramatic Arts; LOC: TD Bank, N.A.)	NR/Aa2		2,370,000		2,394,814
City of Los Angeles GO, 3.00% due 6/29/2017 (Cash Flow Management)	SP-1+/Mig1		4,000,000		4,019,600
City of Manteca, 4.00% due 7/1/2018 (Water Supply System)	AA-/A1		550,000		570,861
City of Manteca, 4.00% due 12/1/2018 (Wastewater Quality Control Facility)	AA/Aa3		375,000		393,446
City of Manteca, 5.00% due 7/1/2019 (Water Supply System)	AA-/A1		400,000		433,544
City of Manteca, 5.00% due 7/1/2021 (Water Supply System)	AA-/A1		1,000,000		1,139,580
City of Manteca, 5.00% due 7/1/2023 (Water Supply System)	AA-/A1		650,000		750,223
City of Moorpark Mobile Home Park, 4.90% due 5/15/2017 (Villa Del Arroyo)	A+/NR		215,000		215,849
City of Porterville COP, 6.30% due 10/1/2018 (Public Service Capital Projects; Insured: AMBAC) (ETM)	NR/NR		470,000		493,265
City of Redding COP, 5.00% due 6/1/2020 pre-refunded 6/1/2018 (City Electric System; Insured: AGM)	NR/A2		1,445,000		1,513,377
City of Redding COP, 5.00% due 6/1/2020 (City Electric System; Insured: AGM)	NR/A2		1,055,000		1,103,836
City of San Jose Financing Authority, 5.00% due 6/1/2019 (Civic Center Project)	AA/Aa2		650,000		703,774
City of San Jose Financing Authority, 5.00% due 6/1/2020 (Civic Center Project)	AA/Aa2		600,000		666,924
City of San Jose Financing Authority, 4.00% due 6/1/2021 (Civic Center Project)	AA/Aa2		1,000,000		1,097,270
City of San Jose Financing Authority, 5.00% due 6/1/2022 (Civic Center Project)	AA/Aa2		745,000		860,721

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
City of San Jose Financing Authority, 5.00% due 6/1/2023 (Civic Center Project)	AA/Aa2	$	1,000,000	$	1,172,060
City of San Jose Financing Authority, 5.00% due 6/1/2024 (Civic Center Project)	AA/Aa2		750,000		880,860
City of Torrance, 5.00% due 9/1/2020 (Torrance Memorial Medical Center)	BBB+/A3		1,155,000		1,281,103
City of Vallejo, 5.00% due 5/1/2017 (Water Improvement Project; Insured: Natl-Re)	AA-/A3		1,240,000		1,244,253
Community Development Commission of the City of Santa Fe Springs, 5.00% due 9/1/2018 (Redevelopment Project; Insured: Natl-Re)	AA-/A3		1,235,000		1,254,451
Corona-Norco USD GO, 0.01% due 9/1/2017 (Insured: AGM)	AA/Aa2		1,595,000		1,589,067
County of El Dorado Community Facilities District, 5.00% due 9/1/2019 (El Dorado Hills Development)	A/NR		1,700,000		1,844,874
County of Los Angeles GO, 3.00% due 6/30/2017 (Cash Management Program)	SP-1+/Mig1		12,000,000		12,069,480
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2020 (Bunker Hill Project)	AA/NR		1,000,000		1,107,280
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2021 (Bunker Hill Project)	AA/NR		2,500,000		2,832,050
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2022 (Bunker Hill Project)	AA/NR		1,000,000		1,147,350
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2023 (Bunker Hill Project)	AA/NR		1,000,000		1,162,610
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2024 (Bunker Hill Project)	AA/NR		500,000		585,830
County of Monterey COP, 5.25% due 8/1/2021 (Natividad Medical Center; Insured: AGM)	AA/Aa3		3,700,000		4,079,398
County of Riverside, 3.00% due 10/11/2017	NR/Mig1		15,000,000		15,168,900
Delano Financing Authority, 5.00% due 12/1/2017 (Police Station and Capital Improvements)	A-/NR		1,085,000		1,111,713
Delano Financing Authority, 5.00% due 12/1/2018 (Police Station and Capital Improvements)	A-/NR		1,135,000		1,199,411
Delano Financing Authority, 5.00% due 12/1/2019 (Police Station and Capital Improvements)	A-/NR		1,195,000		1,295,559
Desert Sands USD COP, 4.00% due 3/1/2019 (Educational Facilities; Insured: BAM)	AA/A1		1,000,000		1,054,400
Desert Sands USD COP, 5.00% due 3/1/2020 (Educational Facilities; Insured: BAM)	AA/A1		700,000		772,548
Desert Sands USD COP, 5.00% due 3/1/2021 (Educational Facilities; Insured: BAM)	AA/A1		1,080,000		1,221,804
Eastern Municipal Water District COP, 0.88% due 7/1/2046 put 4/7/2017 (Water and Wastewater; SPA: U.S. Bank, N.A.) (weekly demand notes)	AA+/Aa2		2,500,000		2,500,000
El Dorado Irrigation District COP, 5.00% due 3/1/2025 (Water System Capital Improvements)	AA-/Aa3		1,200,000		1,445,184
El Dorado Irrigation District COP, 5.00% due 3/1/2026 (Water System Capital Improvements)	AA-/Aa3		1,500,000		1,821,690
Elk Grove Finance Authority, 4.00% due 9/1/2020 (Poppy Ridge CFD No. 2003-1 and East Franklin CFD No. 2002-1)	A-/NR		575,000		619,764
Elk Grove Finance Authority, 5.00% due 9/1/2021 (Poppy Ridge CFD No. 2003-1 and East Franklin CFD No. 2002-1)	A-/NR		450,000		510,791
Elk Grove Finance Authority, 5.00% due 9/1/2025 (Poppy Ridge CFD No. 2003-1 and East Franklin CFD No. 2002-1)	A-/NR		750,000		887,955
Emeryville Redevelopment Agency, 5.00% due 9/1/2022 (Emeryville and Shellmound Park Projects; Insured: AGM)	AA/NR		2,775,000		3,219,860
Emeryville Redevelopment Agency, 5.00% due 9/1/2023 (Emeryville and Shellmound Park Projects; Insured: AGM)	AA/NR		2,420,000		2,845,000
Emeryville Redevelopment Agency, 5.00% due 9/1/2024 (Emeryville and Shellmound Park Projects; Insured: AGM)	AA/NR		3,900,000		4,640,454
Folsom Cordova USD COP, 5.00% due 4/1/2021 (Educational Facilities; Insured: AGM)	AA/NR		1,000,000		1,133,110
Fresno County USD GO, 5.90% due 8/1/2017 (Educational Facilities; Insured: Natl-Re)	AA-/A3		590,000		599,458
Fresno County USD GO, 5.90% due 8/1/2018 (Educational Facilities; Insured: Natl-Re)	AA-/A3		630,000		668,487
Fresno County USD GO, 5.90% due 8/1/2019 (Educational Facilities; Insured: Natl-Re)	AA-/A3		675,000		743,404
Fresno County USD GO, 5.00% due 2/1/2020 (Educational Facilities; Insured: Natl-Re)	AA-/A3		2,510,000		2,748,199
Fresno County USD GO, 5.90% due 8/1/2020 (Educational Facilities; Insured: Natl-Re)	AA-/A3		720,000		819,245
Golden Empire Schools Financing Authority Floating Rate Note, 1.41% due 5/1/2017 (Kern High School District)	SP-1/Mig1		4,000,000		4,000,000
Government of Guam, 3.00% due 11/15/2017 (Various Capital Projects)	A/NR		300,000		302,214
Government of Guam, 5.00% due 11/15/2017 (Educational Facilities Improvements)	A/NR		1,720,000		1,753,867
Government of Guam, 5.00% due 11/15/2023 (Various Capital Projects)	A/NR		1,250,000		1,373,700
Government of Guam, 5.00% due 11/15/2025 (Various Capital Projects)	A/NR		4,175,000		4,582,939
Guam Power Authority, 5.00% due 10/1/2021 (Electric Power System; Insured: AGM)	AA/A2		1,275,000		1,425,985
Hacienda La Puente USD COP, 3.00% due 6/1/2017 (Educational Facilities; Insured: AGM)	AA/A1		160,000		160,598
Hacienda La Puente USD COP, 4.00% due 6/1/2018 (Educational Facilities; Insured: AGM)	AA/A1		705,000		729,753
Hacienda La Puente USD COP, 5.00% due 6/1/2019 (Educational Facilities; Insured: AGM)	AA/A1		875,000		946,409
Hacienda La Puente USD COP, 5.00% due 6/1/2020 (Educational Facilities; Insured: AGM)	AA/A1		740,000		822,258
Hacienda La Puente USD COP, 5.00% due 6/1/2022 (Educational Facilities; Insured: AGM)	AA/A1		575,000		664,441
Hacienda La Puente USD COP, 5.00% due 6/1/2023 (Educational Facilities; Insured: AGM)	AA/A1		1,535,000		1,798,145
Hacienda La Puente USD COP, 5.00% due 6/1/2024 (Educational Facilities; Insured: AGM)	AA/A1		880,000		1,043,803
Hacienda La Puente USD COP, 5.00% due 6/1/2025 (Educational Facilities; Insured: AGM)	AA/A1		1,300,000		1,552,304
Hemet USD GO, 4.00% due 8/1/2018 (Insured: AGM)	AA/NR		1,335,000		1,387,626
Irvine USD, 0.80% due 9/1/2053 put 4/3/2017 (Community Facilities District No. 09-1; LOC: U.S. Bank, N.A.) (daily demand notes)	AA-/Aa2		26,300,000		26,300,000
Irvine USD Community Facilities District No. 86-1, 5.25% due 9/1/2017 (Acquisition of Public Facilities; Insured: AGM)	AA/NR		250,000		254,408
Jurupa Public Financing Authority, 4.50% due 9/1/2018 (Community Services District-Eastvale Area; Insured: AGM)	AA/NR		870,000		910,237
Jurupa Public Financing Authority, 4.50% due 9/1/2019 (Community Services District-Eastvale Area; Insured: AGM)	AA/NR		905,000		971,409
Jurupa Public Financing Authority, 4.50% due 9/1/2020 (Community Services District-Eastvale Area; Insured: AGM)	AA/NR		945,000		1,034,199
Kern High School District GO, 4.00% due 8/1/2017 (Insured: AGM)	A+/Aa2		500,000		505,365
Kern High School District GO, 4.00% due 8/1/2018 (Insured: AGM)	A+/Aa2		500,000		520,255
La Quinta Redevelopment Agency, 5.00% due 9/1/2021 (Redevelopment Project Areas No. 1 and 2)	AA-/NR		1,000,000		1,135,090
La Quinta Redevelopment Agency, 5.00% due 9/1/2022 (Redevelopment Project Areas No. 1 and 2)	AA-/NR		2,000,000		2,304,300
La Quinta Redevelopment Agency, 5.00% due 9/1/2023 (Redevelopment Project Areas No. 1 and 2)	AA-/NR		1,500,000		1,746,450
Lodi Public Financing Authority, 5.00% due 10/1/2020 (City Police Building and Jail)	A+/NR		965,000		1,074,151
Lodi Public Financing Authority, 5.00% due 10/1/2021 (City Police Building and Jail)	A+/NR		1,020,000		1,159,526

10    Semi-Annual Report

Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Lodi Public Financing Authority, 5.00% due 10/1/2022 (City Police Building and Jail)	A+/NR	$	1,040,000	$	1,183,634
Lodi Public Financing Authority, 5.00% due 10/1/2023 (City Police Building and Jail)	A+/NR		1,120,000		1,270,270
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2017 (ETM)	A+/NR		1,660,000		1,686,510
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects)	AA/Aa3		2,060,000		2,171,240
Los Angeles County Schools Pooled Financing Program COP, 5.00% due 6/1/2022 (Compton USD; Insured: AGM)	AA/A2		1,500,000		1,721,220
Los Angeles County Schools Regionalized Business Services Corp. COP, 0% due 8/1/2021 (Insured: AMBAC)	NR/NR		2,135,000		1,929,677
Los Angeles Department of Airports, 5.50% due 5/15/2018 (Los Angeles International Airport) (AMT)	AA/Aa3		2,000,000		2,099,480
Los Angeles Department of Water and Power, 5.00% due 7/1/2024 (Power System Capital Improvements)	AA-/Aa2		1,000,000		1,208,640
Los Angeles Department of Water and Power, 5.00% due 7/1/2025 (Power System Capital Improvements)	AA-/Aa2		500,000		611,425
Los Angeles Department of Water and Power, 5.00% due 7/1/2026 (Power System Capital Improvements)	AA-/Aa2		300,000		364,128
Los Angeles USD COP, 5.50% due 12/1/2018 (Educational Facilities and Information Technology Infrastructure)	A+/A1		2,000,000		2,146,100
Los Angeles USD GO, 5.00% due 7/1/2022 (Educational Facilities and Information Technology Infrastructure)	AA-/Aa2		2,750,000		3,216,757
Los Angeles USD GO, 5.00% due 7/1/2023 (Educational Facilities and Information Technology Infrastructure)	AA-/Aa2		3,000,000		3,569,970
Los Angeles USD GO, 5.00% due 7/1/2024 (Educational Facilities and Information Technology Infrastructure)	AA-/Aa2		3,000,000		3,618,030
Lynwood USD GO, 5.00% due 8/1/2023 (Insured: AGM)	AA/A2		1,000,000		1,174,250
Manteca USD Community Facilities District No. 1989-2, 4.00% due 9/1/2018 (Educational Facilities; Insured: AGM)	AA/A2		500,000		519,790
Manteca USD Community Facilities District No. 1989-2, 4.00% due 9/1/2019 (Educational Facilities; Insured: AGM)	AA/A2		870,000		924,044
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2020 (Educational Facilities; Insured: AGM)	AA/A2		1,425,000		1,586,609
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2021 (Educational Facilities; Insured: AGM)	AA/A2		750,000		849,270
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2023 (Educational Facilities; Insured: AGM)	AA/A2		500,000		578,695
Mark West Union School District GO, 4.125% due 8/1/2020 (Educational Facilities; Insured: Natl-Re)	AA/A3		1,275,000		1,278,277
Metropolitan Water District of Southern California Floating Rate Note, 0.91% due 7/1/2030	A-1+/Aa1		9,500,000		9,500,000
Metropolitan Water District of Southern California, 1.07% due 7/1/2030	AAA/Aa1		5,000,000		5,000,000
Metropolitan Water District of Southern California Floating Rate Note, 0.95% due 7/1/2036	A-1+/Aa1		10,000,000		9,999,700
Milpitas Redevelopment Agency, 4.00% due 9/1/2017 (Redevelopment Project Area No. 1)	AA-/NR		1,000,000		1,013,080
Milpitas Redevelopment Agency, 5.00% due 9/1/2025 (Redevelopment Project Area No. 1)	AA-/NR		2,300,000		2,736,494
Modesto Irrigation District, 5.00% due 7/1/2022 (San Joaquin Valley Electric System)	A+/A2		1,000,000		1,156,910
Moreno Valley Public Financing Authority, 5.00% due 11/1/2024 (Public Improvements)	A+/NR		1,455,000		1,712,666
Municipal Improvement Corp. of Los Angeles, 5.00% due 11/1/2017 (Capital Equipment)	A+/Aa3		3,235,000		3,312,737
Municipal Improvement Corp. of Los Angeles, 5.00% due 3/1/2018 (Capital Equipment)	A+/Aa3		4,765,000		4,941,448
Murrieta Valley USD Public Financing Authority GO, 5.00% due 9/1/2023 (Educational Facilities; Insured: BAM)	AA/NR		1,080,000		1,271,808
Natomas USD GO, 5.00% due 8/1/2024 (Insured: BAM)	AA/A1		2,425,000		2,847,799
North City West School Facilities Financing Authority, 5.00% due 9/1/2021 (Carmel Valley; Insured: AGM)	AA/NR		2,155,000		2,440,236
North City West School Facilities Financing Authority, 5.00% due 9/1/2022 (Carmel Valley; Insured: AGM)	AA/NR		2,260,000		2,588,446
Northern California Power Agency, 5.00% due 7/1/2017 (Hydroelectric Project)	A+/A1		100,000		101,058
Northern California Power Agency, 5.00% due 7/1/2018 (Hydroelectric Project)	A+/A1		1,250,000		1,312,900
Northern California Power Agency, 5.00% due 6/1/2019 (Lodi Energy Center)	A-/A2		2,340,000		2,531,506
Oakland USD GO, 5.00% due 8/1/2022 (County of Alameda Educational Facilities)	AA-/Aa3		745,000		872,008
Oakland USD GO, 5.00% due 8/1/2023 (County of Alameda Educational Facilities)	AA-/Aa3		700,000		832,692
Oakland USD GO, 5.00% due 8/1/2025 (County of Alameda Educational Facilities)	AA-/Aa3		1,300,000		1,583,660
Palomar Pomerado Health GO, 0% due 8/1/2019 (Insured: AGM)	AA/A2		2,000,000		1,918,320
Palomar Pomerado Health GO, 0.01% due 8/1/2021 (Insured: Natl-Re)	AA-/A2		2,850,000		2,579,136
Pasadena USD GO, 5.00% due 8/1/2024 (Educational Facilities Improvements)	A+/Aa2		250,000		300,913
Pasadena USD GO, 5.00% due 8/1/2024 (2019 Crossover)	A+/Aa2		800,000		962,920
Pasadena USD GO, 5.00% due 8/1/2025 (Educational Facilities Improvements)	A+/Aa2		365,000		444,643
Pasadena USD GO, 5.00% due 8/1/2025 (2019 Crossover)	A+/Aa2		1,000,000		1,218,200
Pasadena USD GO, 5.00% due 8/1/2026 (Educational Facilities Improvements)	A+/Aa2		500,000		615,320
Pasadena USD GO, 5.00% due 8/1/2026 (2019 Crossover)	A+/Aa2		1,000,000		1,230,640
Pomona Public Financing Authority, 2.00% due 6/1/2018 (Facilities Improvements)	A+/NR		500,000		504,870
Pomona Public Financing Authority, 3.00% due 6/1/2020 (Facilities Improvements)	A+/NR		250,000		260,723
Pomona Public Financing Authority, 4.00% due 6/1/2024 (Facilities Improvements; Insured: AGM)	AA/NR		450,000		502,475
Pomona Public Financing Authority, 4.00% due 6/1/2026 (Facilities Improvements; Insured: AGM)	AA/NR		275,000		307,467
Pomona USD GO, 6.10% due 2/1/2020 (Educational Facilities Improvements; Insured: Natl-Re)	AA-/A3		465,000		523,251
Rancho Santa Fe Community Services District Financing Authority, 3.00% due 9/1/2018	A-/NR		1,055,000		1,081,628
Rancho Santa Fe Community Services District Financing Authority, 3.00% due 9/1/2019	A-/NR		750,000		778,395
Rancho Santa Fe Community Services District Financing Authority, 4.00% due 9/1/2020	A-/NR		1,000,000		1,077,850
Rancho Santa Fe Community Services District Financing Authority, 4.00% due 9/1/2021	A-/NR		550,000		601,051
Rancho Santa Fe Community Services District Financing Authority, 4.00% due 9/1/2022	A-/NR		475,000		521,056
Rancho Santa Fe Community Services District Financing Authority, 4.00% due 9/1/2023	A-/NR		650,000		716,917
Rancho Santa Fe Community Services District Financing Authority, 5.00% due 9/1/2024	A-/NR		750,000		880,620
Rancho Santa Fe Community Services District Financing Authority, 5.00% due 9/1/2025	A-/NR		900,000		1,065,546
Rancho Santa Fe Community Services District Financing Authority, 5.00% due 9/1/2026	A-/NR		915,000		1,066,304
Redevelopment Agency of the City and County of San Francisco, 5.00% due 6/1/2020 (Yerba Buena Center Redevelopment Project Area; Insured: AGM)	AA/A1		1,730,000		1,910,595
Redevelopment Agency of the City of Rialto, 5.00% due 9/1/2023 (Merged Project Area; Insured: BAM)	AA/NR		550,000		640,365
Redevelopment Agency of the City of Rialto, 5.00% due 9/1/2024 (Merged Project Area; Insured: BAM)	AA/NR		500,000		587,575

Semi-Annual Report    11

Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Regents of the University of California, 4.00% due 5/15/2017 (Campus Housing and Facilities)	AA-/Aa3	$	1,250,000	$	1,255,087
Ridgecrest Redevelopment Agency, 5.00% due 6/30/2017 (Redevelopment Project)	A-/NR		1,055,000		1,065,603
Ridgecrest Redevelopment Agency, 5.25% due 6/30/2018 (Redevelopment Project)	A-/NR		1,050,000		1,102,993
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2019 (Redevelopment Project)	A-/NR		1,050,000		1,146,232
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2020 (Redevelopment Project)	A-/NR		1,040,000		1,167,234
Riverside County Infrastructure Financing Authority, 3.00% due 11/1/2017 (Capital Improvement Projects)	AA-/NR		1,000,000		1,012,930
Riverside County Infrastructure Financing Authority, 4.00% due 11/1/2018 (Capital Improvement Projects)	AA-/NR		1,000,000		1,046,990
Riverside County Infrastructure Financing Authority, 4.00% due 11/1/2019 (Capital Improvement Projects)	AA-/NR		1,700,000		1,816,484
Riverside County Infrastructure Financing Authority, 5.00% due 11/1/2020 (Capital Improvement Projects)	AA-/NR		605,000		678,362
Riverside County Infrastructure Financing Authority, 5.00% due 11/1/2021 (Capital Improvement Projects)	AA-/NR		500,000		572,995
Riverside County Palm Desert Financing Authority, 6.00% due 5/1/2022 pre-refunded 5/1/2018 (Palm Desert Sheriff’s Station Facilities)	AA-/A1		2,600,000		2,742,818
Riverside County Public Financing Authority, 4.00% due 11/1/2017 (Capital Facilities Project)	AA-/NR		550,000		559,460
Riverside County Public Financing Authority, 5.00% due 11/1/2019 (Capital Facilities Project)	AA-/NR		2,000,000		2,179,320
Riverside County Public Financing Authority, 4.00% due 11/1/2020 (Capital Facilities Project)	AA-/NR		465,000		502,465
Riverside County Public Financing Authority, 5.00% due 11/1/2021 (Capital Facilities Project)	AA-/NR		1,000,000		1,138,400
Riverside County Public Financing Authority, 5.00% due 11/1/2025 (Capital Facilities Project)	AA-/NR		1,000,000		1,186,630
Riverside USD Financing Authority, 4.00% due 9/1/2017 (Educational Facilities; Insured: BAM)	AA/NR		285,000		288,708
Riverside USD Financing Authority, 5.00% due 9/1/2019 (Educational Facilities; Insured: BAM)	AA/NR		950,000		1,032,460
Riverside USD Financing Authority, 5.00% due 9/1/2022 (Educational Facilities; Insured: BAM)	AA/NR		215,000		246,246
Riverside USD Financing Authority, 5.00% due 9/1/2024 (Educational Facilities; Insured: BAM)	AA/NR		680,000		793,907
Riverside USD Financing Authority, 5.00% due 9/1/2025 (Educational Facilities; Insured: BAM)	AA/NR		350,000		415,338
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2021 (Sacramento City USD Educational Facility Sublease; Insured: BAM)	AA/NR		830,000		930,571
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2022 (Sacramento City USD Educational Facility Sublease; Insured: BAM)	AA/NR		775,000		883,298
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2023 (Sacramento City USD Educational Facility Sublease; Insured: BAM)	AA/NR		815,000		942,352
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2024 (Sacramento City USD Educational Facility Sublease; Insured: BAM)	AA/NR		765,000		894,163
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2025 (Sacramento City USD Educational Facility Sublease; Insured: BAM)	AA/NR		2,175,000		2,518,933
Sacramento City USD GO, 5.00% due 7/1/2018 (Educational Facilities Improvements; Insured: AGM)	AA/NR		360,000		377,932
Sacramento City USD GO, 4.00% due 7/1/2019 (Educational Facilities Improvements)	A+/Aa3		5,455,000		5,782,955
Sacramento City USD GO, 5.00% due 7/1/2019 (Educational Facilities Improvements; Insured: AGM)	AA/NR		635,000		688,543
Sacramento City USD GO, 5.00% due 7/1/2020 (Educational Facilities Improvements; Insured: AGM)	AA/NR		500,000		556,815
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities Improvements; Insured: AGM)	AA/NR		400,000		456,008
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities Improvements)	A+/Aa3		3,600,000		4,088,196
Sacramento City USD GO, 5.00% due 7/1/2022 (Educational Facilities Improvements; Insured: AGM)	AA/NR		700,000		810,026
Sacramento Cogeneration Authority, 5.00% due 7/1/2019 (Procter & Gamble Project)	AA-/Aa3		625,000		678,281
Salinas Valley Solid Waste Authority, 5.00% due 8/1/2023 (Insured: AGM) (AMT)	AA/A2		1,530,000		1,742,792
San Diego Redevelopment Agency, 0.01% due 9/1/2019 (Centre City Redevelopment; Insured: AGM)	AA/A2		1,910,000		1,828,596
San Diego USD GO, 3.00% due 7/1/2017 (Educational System Capital Projects)	NR/Aa2		5,000,000		5,028,650
San Diego USD GO, 5.50% due 7/1/2020 (Educational System Capital Projects; Insured: Natl-Re)	AA-/Aa2		1,390,000		1,578,025
San Diego USD GO, 5.00% due 7/1/2023 (Educational System Capital Projects)	AA-/Aa2		5,000,000		5,949,950
San Diego USD GO, 5.00% due 7/1/2024 (Educational System Capital Projects)	AA-/Aa2		3,000,000		3,573,930
San Francisco City and County Airports Commission, 5.00% due 5/1/2026 (San Francisco International Airport)	A+/A1		5,000,000		6,111,700
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM)	AA/Aa2		5,000,000		4,670,800
San Mateo County Joint Powers Financing Authority, 5.00% due 6/15/2017 (Maple Street Correctional Center)	AA+/Aa1		750,000		756,607
San Mateo County Joint Powers Financing Authority, 5.00% due 7/15/2018 (County Capital Projects)	AA+/Aa1		800,000		841,432
San Mateo County Joint Powers Financing Authority, 5.00% due 6/15/2021 (Maple Street Correctional Center)	AA+/Aa1		410,000		468,556
San Mateo County Joint Powers Financing Authority, 5.00% due 6/15/2022 (Maple Street Correctional Center)	AA+/Aa1		1,000,000		1,162,490
San Mateo County Joint Powers Financing Authority, 5.00% due 6/15/2023 (Maple Street Correctional Center)	AA+/Aa1		585,000		690,160
San Mateo Union High School District GO, 0.01% due 9/1/2019 (Educational Facilities; Insured: Natl-Re)	AA+/Aaa		2,000,000		1,933,680
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) (ETM)	AA-/A3		1,000,000		1,065,810
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re)	AA-/A3		1,000,000		1,061,280
Santa Ana USD GO, 0.01% due 8/1/2020 (Insured: Natl-Re)	AA-/A3		2,035,000		1,920,592
Santa Clara County Financing Authority, 4.00% due 5/15/2017 (Multiple Facilities Projects) (ETM)	AA+/Aa3		1,000,000		1,003,960
Santa Clara County Financing Authority, 5.00% due 5/15/2025 (Multiple Facilities Projects)	AA+/NR		6,755,000		8,206,785
Semitropic Water Storage Improvement District, 5.00% due 12/1/2022 (Irrigation Water System; Insured: AGM)	AA/A2		400,000		465,932
Semitropic Water Storage Improvement District, 5.00% due 12/1/2023 (Irrigation Water System; Insured: AGM)	AA/A2		500,000		589,805
Semitropic Water Storage Improvement District, 5.00% due 12/1/2024 (Irrigation Water System; Insured: AGM)	AA/A2		500,000		596,695
Semitropic Water Storage Improvement District, 5.00% due 12/1/2025 (Irrigation Water System; Insured: AGM)	AA/A2		1,110,000		1,332,477
Sequoia Union High School District, 2.00% due 6/30/2017 (Capital Expenditures)	NR/Mig1		9,225,000		9,251,107
South San Francisco USD GO, 4.00% due 6/15/2018 (Educational Facilities) (ETM)	SP-1+/NR		5,000,000		5,181,700
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC)	AA-/Aa3		1,000,000		1,000,000

12    Semi-Annual Report

Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2018 (Insured: AMBAC) (AMT)	AA-/Aa3	$	2,000,000	$	2,007,360
Southwestern Community College District GO, 4.00% due 8/1/2022	AA-/Aa2		265,000		296,991
Southwestern Community College District GO, 4.00% due 8/1/2023	AA-/Aa2		280,000		316,938
Southwestern Community College District GO, 4.00% due 8/1/2024	AA-/Aa2		390,000		444,374
Southwestern Community College District GO, 4.00% due 8/1/2025	AA-/Aa2		325,000		372,557
Southwestern Community College District GO, 4.00% due 8/1/2026	AA-/Aa2		410,000		471,705
State of California Economic Recovery GO, 5.00% due 7/1/2018 (ETM)	AA+/Aaa		2,330,000		2,447,851
State of California Economic Recovery GO, 5.00% due 7/1/2018 (ETM)	AA+/Aaa		670,000		703,889
State of California GO, 4.75% due 9/1/2018 (Various Capital Projects; Insured: AGM)	AA/Aa3		145,000		147,358
State of California GO, 5.00% due 9/1/2020 (Various Capital Projects)	AA-/Aa3		2,000,000		2,244,080
State of California GO, 0.63% due 5/1/2034 put 4/3/2017 (Kindergarten-University Facilities; LOC: Citibank N.A.) (daily demand notes)	AA+/Aa1		2,000,000		2,000,000
Successor Agency to the City Colton Redevelopment Agency, 5.00% due 8/1/2021 (Multiple Redevelopment Project Areas; Insured: BAM)	AA/NR		940,000		1,065,377
Successor Agency to the City Colton Redevelopment Agency, 5.00% due 8/1/2023 (Multiple Redevelopment Project Areas; Insured: BAM)	AA/NR		925,000		1,075,784
Successor Agency to the City Colton Redevelopment Agency, 5.00% due 8/1/2025 (Multiple Redevelopment Project Areas; Insured: BAM)	AA/NR		950,000		1,123,850
Successor Agency to the City of Riverside Redevelopment Agency, 5.00% due 9/1/2023 (Multiple Redevelopment Project Areas)	AA-/NR		1,735,000		2,051,152
Successor Agency to the City of Riverside Redevelopment Agency, 5.00% due 9/1/2024 (Multiple Redevelopment Project Areas)	AA-/NR		1,250,000		1,490,150
Successor Agency to the City of Sacramento Redevelopment Agency, 3.00% due 12/1/2017 (Multiple Redevelopment Project Areas)	A/NR		1,315,000		1,332,266
Successor Agency to the City of San Diego Redevelopment Agency, 5.00% due 9/1/2025 (Multiple Redevelopment Project Areas)	AA/NR		2,745,000		3,340,390
Successor Agency to the City of San Diego Redevelopment Agency, 5.00% due 9/1/2026 (Multiple Redevelopment Project Areas)	AA/NR		1,500,000		1,819,770
Successor Agency to the Commerce Community Development Commission, 5.00% due 8/1/2027 (Multiple Redevelopment Project Areas; Insured: AGM)	AA/NR		1,760,000		2,096,618
Successor Agency to the Community Development Agency of the City of Menlo Park, 3.00% due 10/1/2017 (Las Pulgas Community Development Project)	A+/NR		655,000		662,212
Successor Agency to the Community Development Agency of the City of Menlo Park, 5.00% due 10/1/2019 (Las Pulgas Community Development Project)	A+/NR		400,000		435,820
Successor Agency to the Community Development Agency of the City of Menlo Park, 5.00% due 10/1/2020 (Las Pulgas Community Development Project)	A+/NR		325,000		363,054
Successor Agency to the Community Development Agency of the City of Menlo Park, 5.00% due 10/1/2021 (Las Pulgas Community Development Project; Insured: AGM)	AA/NR		1,250,000		1,432,050
Successor Agency to the Community Development Agency of the City of Menlo Park, 5.00% due 10/1/2022 (Las Pulgas Community Development Project; Insured: AGM)	AA/NR		900,000		1,044,162
Successor Agency to the Community Development Agency of the City of Menlo Park, 5.00% due 10/1/2025 (Las Pulgas Community Development Project; Insured: AGM)	AA/NR		500,000		599,210
Successor Agency to the Community Redevelopment Agency of the City of Palmdale, 5.00% due 9/1/2024 (Merged Redevelopment Project Areas)	A+/NR		600,000		708,966
Successor Agency to the Community Redevelopment Agency of the City of Palmdale, 5.00% due 9/1/2025 (Merged Redevelopment Project Areas)	A+/NR		450,000		534,650
Successor Agency to the Community Redevelopment Agency of the City of Palmdale, 5.00% due 9/1/2026 (Merged Redevelopment Project Areas)	A+/NR		550,000		660,627
Successor Agency to the Poway Redevelopment Agency, 5.00% due 6/15/2025 (Paguay Redevelopment Project)	AA-/NR		4,665,000		5,521,074
Successor Agency to the Rancho Cucamonga Redevelopment Project, 5.00% due 9/1/2023 (Rancho Redevelopment Project Area; Insured: AGM)	AA/NR		1,000,000		1,175,620
Successor Agency to the Rancho Cucamonga Redevelopment Project, 5.00% due 9/1/2024 (Rancho Redevelopment Project Area: Insured: AGM)	AA/NR		2,000,000		2,379,720
Successor Agency to the Redevelopment Agency of the City and County of San Francisco, 5.00% due 8/1/2019 (San Francisco Redevelopment Projects)	A+/NR		2,050,000		2,224,291
Successor Agency to the Redevelopment Agency of the City and County of San Francisco, 5.00% due 8/1/2020 (San Francisco Redevelopment Projects)	A+/NR		1,685,000		1,875,422
Successor Agency to the Redevelopment Agency of the City and County of San Francisco, 5.00% due 8/1/2021 (San Francisco Redevelopment Projects)	A+/NR		1,000,000		1,138,760
Successor Agency to the Redevelopment Agency of the City of Stockton, 5.00% due 9/1/2025 (Redevelopment of Midtown, North and South Stockton and Waterfront Areas; Insured: AGM)	AA/NR		1,900,000		2,202,689
Successor Agency to the Redevelopment Agency of the City of Stockton, 5.00% due 9/1/2026 (Redevelopment of Midtown, North and South Stockton and Waterfront Areas; Insured: AGM)	AA/NR		1,000,000		1,165,360
Successor Agency to the Redevelopment Agency of the City of Stockton, 5.00% due 9/1/2027 (Redevelopment of Midtown, North and South Stockton and Waterfront Areas; Insured: AGM)	AA/NR		1,000,000		1,153,810

Semi-Annual Report    13

Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
Successor Agency to the Richmond County Redevelopment Agency, 5.00% due 9/1/2022 (Joint Powers Financing Authority & Harbour Redevelopment Project; Insured: BAM)	AA/NR	$	400,000	$	460,860
Successor Agency to the Richmond County Redevelopment Agency, 5.00% due 9/1/2023 (Joint Powers Financing Authority & Harbour Redevelopment Project; Insured: BAM)	AA/NR		400,000		465,720
Successor Agency to the Richmond County Redevelopment Agency, 5.00% due 9/1/2024 (Joint Powers Financing Authority & Harbour Redevelopment Project; Insured: BAM)	AA/NR		450,000		528,818
Successor Agency to the Rosemead Community Development Commission, 5.00% due 10/1/2020 (Rosemead Merged Project Area; Insured: BAM)	AA/NR		745,000		827,248
Successor Agency to the Rosemead Community Development Commission, 5.00% due 10/1/2021 (Rosemead Merged Project Area; Insured: BAM)	AA/NR		680,000		769,869
Successor Agency to the Rosemead Community Development Commission, 5.00% due 10/1/2022 (Rosemead Merged Project Area; Insured: BAM)	AA/NR		1,190,000		1,361,884
Successor Agency to the Rosemead Community Development Commission, 5.00% due 10/1/2023 (Rosemead Merged Project Area; Insured: BAM)	AA/NR		450,000		520,763
Successor Agency to the Rosemead Community Development Commission, 5.00% due 10/1/2024 (Rosemead Merged Project Area; Insured: BAM)	AA/NR		620,000		724,365
Successor Agency to the Rosemead Community Development Commission, 5.00% due 10/1/2025 (Rosemead Merged Project Area; Insured: BAM)	AA/NR		405,000		477,179
Successor Agency to the Rosemead Community Development Commission, 5.00% due 10/1/2026 (Rosemead Merged Project Area; Insured: BAM)	AA/NR		745,000		883,793
Temecula Valley USD Financing Authority, 4.00% due 9/1/2017 (Educational Facilities; Insured: BAM)	AA/NR		400,000		404,912
Temecula Valley USD Financing Authority, 5.00% due 9/1/2018 (Educational Facilities; Insured: BAM)	AA/NR		325,000		341,884
Temecula Valley USD Financing Authority, 5.00% due 9/1/2019 (Educational Facilities; Insured: BAM)	AA/NR		375,000		406,275
Temecula Valley USD Financing Authority, 5.00% due 9/1/2020 (Educational Facilities; Insured: BAM)	AA/NR		400,000		443,624
Temecula Valley USD Financing Authority, 5.00% due 9/1/2021 (Educational Facilities; Insured: BAM)	AA/NR		515,000		582,465
Temecula Valley USD Financing Authority, 5.00% due 9/1/2022 (Educational Facilities; Insured: BAM)	AA/NR		275,000		314,966
Temecula Valley USD Financing Authority, 5.00% due 9/1/2023 (Educational Facilities; Insured: BAM)	AA/NR		300,000		346,443
Temecula Valley USD Financing Authority, 5.00% due 9/1/2024 (Educational Facilities; Insured: BAM)	AA/NR		300,000		348,492
Temecula Valley USD Financing Authority, 5.00% due 9/1/2025 (Educational Facilities; Insured: BAM)	AA/NR		300,000		348,954
Town of Hillsborough COP, 0.97% due 6/1/2030 put 4/7/2017 (Water and Sewer Systems; SPA: Bank of the West) (weekly demand notes)	NR/NR		500,000		500,000
Trustees of the California State University, 5.00% due 11/1/2026 (Educational Facilities Improvements)	AA-/Aa2		1,000,000		1,215,890
Tuolumne Wind Project Authority, 5.00% due 1/1/2018	AA-/A2		1,690,000		1,742,948
Turlock Irrigation District, 5.00% due 1/1/2019	AA-/A2		1,000,000		1,068,660
Turlock Irrigation District, 5.00% due 1/1/2025	A+/NR		1,000,000		1,187,500
Turlock Irrigation District, 5.00% due 1/1/2026	A+/NR		1,000,000		1,197,960
Ukiah USD GO, 0% due 8/1/2019 (Insured: Natl-Re)	AA-/A1		2,000,000		1,938,840
Upper Lake Union High School District GO, 0% due 8/1/2020 (Insured: Natl-Re)	NR/A3		1,050,000		933,943
Ventura County Public Financing Authority, 5.00% due 11/1/2023 (Office Building Purchase and Improvements)	AA+/Aa1		500,000		597,925
Ventura County Public Financing Authority, 5.00% due 11/1/2024 (Office Building Purchase and Improvements)	AA+/Aa1		1,060,000		1,259,640
Virgin Islands Public Finance Authority, 5.00% due 10/1/2017	B/Caa1		1,440,000		1,378,310
Vista Redevelopment Agency, 5.00% due 9/1/2019 (Vista Redevelopment Project; Insured: AGM)	AA/NR		300,000		325,566
Vista Redevelopment Agency, 5.00% due 9/1/2020 (Vista Redevelopment Project; Insured: AGM)	AA/NR		275,000		305,509
Vista Redevelopment Agency, 5.00% due 9/1/2021 (Vista Redevelopment Project; Insured: AGM)	AA/NR		265,000		300,799
Vista Redevelopment Agency, 5.00% due 9/1/2022 (Vista Redevelopment Project; Insured: AGM)	AA/NR		335,000		385,970
Vista Redevelopment Agency, 5.00% due 9/1/2023 (Vista Redevelopment Project; Insured: AGM)	AA/NR		400,000		466,848
Walnut Improvement Agency, 4.00% due 3/1/2018 (City of Walnut Improvement Plan; Insured: BAM)	AA/NR		1,000,000		1,026,220
Walnut Improvement Agency, 5.00% due 3/1/2019 (City of Walnut Improvement Plan; Insured: BAM)	AA/NR		400,000		427,900
Washington USD Yolo County COP, 5.00% due 8/1/2017 (West Sacramento High School; Insured: AMBAC)	A/NR		725,000		734,889
Washington USD Yolo County COP, 5.00% due 8/1/2021 (West Sacramento High School; Insured: AMBAC)	A/NR		910,000		921,521
Washington USD Yolo County COP, 5.00% due 8/1/2022 (West Sacramento High School; Insured: AMBAC)	A/NR		2,010,000		2,035,447
Westminster Redevelopment Agency, 5.00% due 8/1/2024 (Commercial Redevelopment Project No. 1; Insured: AGM)	AA/A2		1,205,000		1,259,731
TOTAL INVESTMENTS — 98.77% (Cost $641,873,873)				$	655,352,500
OTHER ASSETS LESS LIABILITIES — 1.23%					8,178,468
NET ASSETS — 100.00%				$	663,530,968

14    Semi-Annual Report

Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ABAG	Association of Bay Area Governments
ACA	Insured by American Capital Access
AGM	Insured by Assured Guaranty Municipal Corp.
AMBAC	Insured by American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax
BAM	Insured by Build America Mutual Insurance Co.
COP	Certificates of Participation

See notes to financial statements.

ETM	Escrowed to Maturity
FHA	Insured by Federal Housing Administration
GO	General Obligation
HFFA	Health Facilities Financing Authority
Mtg	Mortgage
Natl-Re	Insured by National Public Finance Guarantee Corp.
USD	Unified School District

Semi-Annual Report    15

Statement of Assets and Liabilities
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (cost $641,873,873) (Note 3)	$	655,352,500
Cash		1,654,698
Receivable for investments sold		1,052,497
Receivable for fund shares sold		2,029,790
Interest receivable		6,082,419
Prepaid expenses and other assets		2,298
Total Assets		666,174,202
LIABILITIES
Payable for investments purchased		583,857
Payable for fund shares redeemed		1,442,550
Payable to investment advisor and other affiliates (Note 4)		370,127
Accounts payable and accrued expenses		93,560
Dividends payable		153,140
Total Liabilities		2,643,234
NET ASSETS	$	663,530,968
NET ASSETS CONSIST OF
Undistributed net investment income	$	2,150
Net unrealized appreciation on investments		13,478,627
Accumulated net realized gain (loss)		(2,234,855	)
Net capital paid in on shares of beneficial interest		652,285,046
	$	663,530,968
NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($153,869,372 applicable to 11,273,940 shares of beneficial interest outstanding - Note 5)	$	13.65
Maximum sales charge, 1.50% of offering price		0.21
Maximum offering price per share	$	13.86
Class C Shares:
Net asset value and offering price per share* ($60,124,492 applicable to 4,401,765 shares of beneficial interest outstanding - Note 5)	$	13.66
Class I Shares:
Net asset value, offering and redemption price per share ($449,537,104 applicable to 32,905,757 shares of beneficial interest outstanding - Note 5)	$	13.66

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

16    Semi-Annual Report

Statement of Operations
Thornburg California Limited Term Municipal Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Interest income (net of premium amortized of $5,003,387)	$	7,829,244
EXPENSES
Investment advisory fees (Note 4)		1,647,256
Administration fees (Note 4)
Class A Shares		109,132
Class C Shares		39,712
Class I Shares		115,205
Distribution and service fees (Note 4)
Class A Shares		218,264
Class C Shares		158,542
Transfer agent fees
Class A Shares		47,052
Class C Shares		14,815
Class I Shares		178,839
Registration and filing fees
Class A Shares		18
Class C Shares		17
Class I Shares		18
Custodian fees (Note 2)		55,965
Professional fees		25,435
Accounting fees (Note 4)		11,767
Trustee fees		16,258
Other expenses		24,385
Total Expenses		2,662,680
Net Investment Income		5,166,564
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments		(2,219,065	)
Net change in unrealized appreciation (depreciation) on investments		(15,799,407	)
Net Realized and Unrealized Loss		(18,018,472	)
Net Decrease in Net Assets Resulting from Operations	$	(12,851,908	)

See notes to financial statements.

Semi-Annual Report    17

Statements of Changes in Net Assets

Thornburg California Limited Term Municipal Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	5,166,564		$	10,039,681
Net realized gain (loss) on investments		(2,219,065	)		190,349
Net unrealized appreciation (depreciation) on investments		(15,799,407	)		6,449,717
Net Increase (Decrease) in Net Assets Resulting from Operations		(12,851,908	)		16,679,747
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(1,134,916	)		(2,354,052	)
Class C Shares		(336,805	)		(694,054	)
Class I Shares		(3,695,097	)		(6,991,575	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(34,674,052	)		20,188,735
Class C Shares		(6,486,912	)		3,358,067
Class I Shares		(15,203,495	)		64,610,015
Net Increase (Decrease) in Net Assets		(74,383,185	)		94,796,883
NET ASSETS
Beginning of Period		737,914,153			643,117,270
End of Period	$	663,530,968		$	737,914,153
Undistributed net investment income	$	2,150		$	2,404

* Unaudited.

See notes to financial statements.

18    Semi-Annual Report

Notes to Financial Statements
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg California Limited Term Municipal Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal and California state individual income tax as is consistent, in the view of Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.

The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment

Semi-Annual Report    19

Notes to Financial Statements, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund . Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	641,873,873
Gross unrealized appreciation on a tax basis	$	15,813,758
Gross unrealized depreciation on a tax basis		(2,335,131	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	13,478,627

At March 31, 2017, the Fund had cumulative tax basis capital losses of $15,789, (of which $15,789 are short-term and $0 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

20    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities
Municipal Bonds	$	655,352,500	$	—	$	655,352,500	$	—
Total Investments in Securities	$	655,352,500	$	—	$	655,352,500	$	—

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017.

Semi-Annual Report    21

Notes to Financial Statements, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.500	%
Next $500 million		0.400
Next $500 million		0.300
Next $500 million		0.250
Over $2 billion		0.225

The Fund’s effective management fee for the six months ended March 31, 2017 was 0 .471% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $11,767 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $2,507 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $2,449 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction and amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A and Class C shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I shares. The Advisor and the Distributor each may pay out of its own resources additional expenses for distribution of the Funds shares and shareholder services.

The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C shares.

Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had transactions with affiliated funds of $1,312,169 in sales.

22    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		1,742,291		$	23,841,996			3,545,788		$	49,447,106
Shares issued to shareholders in reinvestment of dividends		70,907			967,425			142,013			1,981,364
Shares repurchased		(4,370,315	)		(59,483,473	)		(2,238,533	)		(31,239,735	)
Net increase (decrease)		(2,557,117	)	$	(34,674,052	)		1,449,268		$	20,188,735
Class C Shares
Shares sold		210,690		$	2,879,190			1,011,365		$	14,117,934
Shares issued to shareholders in reinvestment of dividends		19,493			266,139			38,417			536,374
Shares repurchased		(705,863	)		(9,632,241	)		(808,902	)		(11,296,241	)
Net increase (decrease)		(475,680	)	$	(6,486,912	)		240,880		$	3,358,067
Class I Shares
Shares sold		11,100,855		$	151,454,964			12,762,501		$	178,298,927
Shares issued to shareholders in reinvestment of dividends		218,043			2,977,143			381,818			5,333,769
Shares repurchased		(12,461,493	)		(169,635,602	)		(8,518,649	)		(119,022,681	)
Net increase (decrease)		(1,142,595	)	$	(15,203,495	)		4,625,670		$	64,610,015

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $56,870,414 and $99,861,694, respectively.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit risk, market and economic risk, liquidity risk, and the risk of investing mainly in the obligations primarily originating in a single state. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    23

Financial Highlights

Thornburg California Limited Term Municipal Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																					RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+		NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS			TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF  PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	13.98		0.09		(0.33	)		(0.24	)		(0.09	)		—			(0.09	)	$	13.65		1.30	(e)		0.94	(e)		0.94	(e)		0.94	(e)		(1.72	)		9.10	$	153,869
2016(c)	$	13.84		0.18		0.14			0.32			(0.18	)		—			(0.18	)	$	13.98		1.28			0.93			0.93			0.93			2.32			16.47	$	193,321
2015(c)	$	13.84		0.19		—	(d)		0.19			(0.19	)		—			(0.19	)	$	13.84		1.39			0.94			0.94			0.94			1.40			14.43	$	171,344
2014(c)	$	13.54		0.23		0.30			0.53			(0.23	)		—			(0.23	)	$	13.84		1.67			0.95			0.94			0.95			3.93			16.85	$	160,151
2013(c)	$	13.75		0.24		(0.20	)		0.04			(0.24	)		(0.01	)		(0.25	)	$	13.54		1.75			0.94			0.94			0.94			0.28			17.57	$	159,058
CLASS C SHARES
2017(b)	$	13.99		0.07		(0.33	)		(0.26	)		(0.07	)		—			(0.07	)	$	13.66		1.06	(e)		1.18	(e)		1.18	(e)		1.18	(e)		(1.84	)		9.10	$	60,125
2016	$	13.85		0.14		0.14			0.28			(0.14	)		—			(0.14	)	$	13.99		1.04			1.18			1.18			1.18			2.06			16.47	$	68,229
2015	$	13.85		0.16		—	(d)		0.16			(0.16	)		—			(0.16	)	$	13.85		1.15			1.18			1.18			1.18			1.15			14.43	$	64,216
2014	$	13.55		0.19		0.30			0.49			(0.19	)		—			(0.19	)	$	13.85		1.41			1.21			1.20			1.21			3.66			16.85	$	62,858
2013	$	13.76		0.20		(0.20	)		—			(0.20	)		(0.01	)		(0.21	)	$	13.55		1.48			1.21			1.21			1.21			0.02			17.57	$	59,585
CLASS I SHARES
2017(b)	$	13.99		0.11		(0.33	)		(0.22	)		(0.11	)		—			(0.11	)	$	13.66		1.60	(e)		0.64	(e)		0.64	(e)		0.64	(e)		(1.57	)		9.10	$	449,537
2016	$	13.85		0.22		0.14			0.36			(0.22	)		—			(0.22	)	$	13.99		1.60			0.62			0.62			0.62			2.64			16.47	$	476,364
2015	$	13.85		0.24		—	(d)		0.24			(0.24	)		—			(0.24	)	$	13.85		1.70			0.63			0.63			0.63			1.72			14.43	$	407,557
2014	$	13.55		0.27		0.30			0.57			(0.27	)		—			(0.27	)	$	13.85		1.99			0.62			0.62			0.62			4.27			16.85	$	361,015
2013	$	13.76		0.28		(0.19	)		0.09			(0.29	)		(0.01	)		(0.30	)	$	13.55		2.08			0.61			0.61			0.61			0.62			17.57	$	254,869

(a) Not annualized for periods less than one year.

(b) Unaudited six month period ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Net realized and unrealized gain (loss) on investments was less than $0.01 per share.

(e) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

24    Semi-Annual Report Semi-Annual Report    25

Expense Example
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
Class A Shares
Actual	$	1,000.00	$	982.80	$	4.64
Hypothetical*	$	1,000.00	$	1,020.25	$	4.73
Class C Shares
Actual	$	1,000.00	$	981.60	$	5.83
Hypothetical*	$	1,000.00	$	1,019.05	$	5.94
Class I Shares
Actual	$	1,000.00	$	984.30	$	3.15
Hypothetical*	$	1,000.00	$	1,021.75	$	3.21

† Expenses are equal to the annualized expense ratio for each class (A: 0.94%; C: 1.18%; I:0.64%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

26    Semi-Annual Report

Other Information
Thornburg California Limited Term Municipal Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    27

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

28    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U .S . Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    29

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30    Semi-Annual Report

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Semi-Annual Report    31

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH1070

Semi-Annual Report March 31, 2017 THORNBURG NEW MEXICO INTERMEDIATE MUNICIPAL FUND

About Thornburg Investment Management It’s more than what we do. It’s how we do it. At Thornburg, we are very different in how we think, invest, and are structured. We believe this difference is what makes us successful in helping individuals reach their long-term financial goals. Flexible Perspective Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value. Collaboration Collectively, we hone ideas via borderless cross-pollination for better judgment and better results. Portfolio Construction Disciplined construction guided more by our convictions than convention. CONVICTION Thorough analysis and our relative-value framework lead to conviction in our securities selection. UNCONVENTIONAL Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point. Structured for Excellence How we think and how we invest is made possible by how we’re structured. TEAM APPROACH FAR FROM THE HERD ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg New Mexico

Intermediate Municipal Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	11
Statement of Operations	12
Statements of Changes in Net Assets	13
Notes to Financial Statements	14
Financial Highlights	20
Expense Example	22
Other Information	23
Trustees’ Statement to Shareholders	24

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	THNMX	885-215-301
Class D	THNDX	885-215-624
Class I	THNIX	885-215-285

Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Semi-Annual Report    3

Letter to Shareholders

Thornburg New Mexico Intermediate Municipal Fund March 31, 2017 (Unaudited)

April 28, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg New Mexico Intermediate Municipal Fund. The net asset value (NAV) of the Class A shares decreased by 41 cents to $13.26 per share during the six-month period ended March 31, 2017. If you were with us the entire period, you received dividends of 15.70 cents per share. If you reinvested your dividends, you received 15.77 cents per share. Dividends were lower for Class D shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund outperformed the index with a negative 1.85% total return (without sales charge) for the six months ended March 31, 2017, compared to the negative 1.94% return for the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index.

The Fund’s duration as well as curve positioning added 0.88% to relative performance. The Fund’s credit allocations detracted 0.21%, while other risk factors detracted 0.09%. Fund expenses accounted for any remaining differences.

The Municipal Bond Market

After a few years of relative quiet in the municipal bond market, things heated up following the election of Donald Trump in 2016. While stocks were rallying, bond prices, even municipal bond prices, came under pressure. Bond yields initially rose after the election based on expectations for greater infrastructure spending, stronger growth and higher inflation. The uptick in rates led mutual fund investors to sell their shares, which caused municipal bond mutual funds to sell their bonds to meet those redemptions. After significant inflows in January to September of 2016, investors pulled $26 billion from municipal bond funds in November and December, some of which was related to tax-loss selling.

When the calendar turned in 2017, these outflows slowed and the municipal bond market produced positive returns. A contributing factor to positive returns was a decline in municipal bond issuance, as during the first quarter of 2017, the supply of new municipal bonds declined by 12% from the same time last year.

The value metrics we use at Thornburg suggest that the municipal bond market continues to price in the rosiest of scenarios moving forward, as investors have been pushed out of the risk spectrum. That is why we have Thornburg New Mexico Intermediate Municipal Fund positioned in the lower end of its respective risk spectrum. In this environment, we continue to keep duration shorter, credit quality higher and we maintain higher levels of reserves.

Inside the Risk Metrics

Real yields, which indicate how much yield over inflation investors are being paid to own municipal bonds, increased over the six-month period. As of September 30, 2016, 10-year AAA general obligation (GO) bonds were yielding 1.64% and the Core Personal Consumption Expenditures Index (PCE) was running at 1.70%, so investors were earning less than inflation. By the end of February 2017, the yield on 10-year AAA GO bonds had increased to 2.30%, while Core PCE was running at 1.80%. While certainly more interesting at the end of the period, the 0.5% real yield was significantly less than the average of 2% investors have earned over the past 20 years.

The second thing to consider is credit spreads, which reflect the incremental yield an investor earns from owning a lower-rated credit versus a higher-rated credit, and which today remain narrow. As of March 31, 2017, an investor earned about 1.28% more for owning a 10-year BBB revenue bond versus a 10-year AAA GO bond. That is slightly higher than the average 0.75% an investor earned between 1994 and 2007. However, in 2007, approximately 50% of the new-issue municipal bond market was insured by AAA/AAA municipal bond insurers. Today, there are no AAA/AAA municipal bond insurers, and insurance coverage generally accounts for only 6% to 8% of the new-issue municipal bond market.

Finally, the slope of the yield curve, which tracks how much incremental yield an investor earns by owning securities with longer maturities, is slightly flatter than historical averages. Currently, investors are earning about 1.4% more for owning a 10-year AAA GO municipal bond, versus a one-year AAA GO municipal bond. Since 1994, an investor earned on average almost 1.6% to extend maturities from one to 10 years.

The Economy and Tax Reform

The U.S. economy continued its slow recovery in 2016, growing at a rate of 1.6% for 2016 in aggregate.

Unemployment continued to tick down. During the six-month period ended March 31, 2017, the U.S. economy added 976,000 jobs and by the end of the period the unemployment rate had fallen to 4.5%. Inflation remained stable, with the Core PCE Index reading 1.75% through March, below the Fed’s 2% target range.

Taken in aggregate, the economy continues to grow, jobs are being added and inflation has remained contained to date. In an effort to keep the economy in check, the U.S. Federal Reserve raised the Fed funds rate in December of 2016, and again in March of 2017.

The economic health of the municipal bond market appears steady with a couple of notable exceptions. The drama in

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

Puerto Rico is still playing out; the only winners are the consultants and lawyers hired by all sides.

New Mexico’s economic health is still quite good. For the period from Q4 2015 to Q4 2016 (latest data available) personal income is up 2.34%, employment is up 1.08%, and home prices are up 4.66%. As far as state tax revenues go, the “land of enchantment” is a little less enchanting as state tax revenues have declined 3.58%—no doubt the effects of volatile energy prices.

Tax reform is the second highest priority of President Trump’s and the Republican-led House agenda—second only to health care reform. The most important items in the tax proposals for the owners of municipal bonds (individuals as well as corporations) are those relevant to investment income. By lowering the effective tax rate on competing sources of income, prices of municipal bonds would most likely fall (yields would increase) to become more competitive with these alternative sources of income.

President Trump’s tax reform proposal (released Thursday, April 27, 2017) called for the elimination of the deduction for state and local taxes on an individual’s federal tax return. This would, if adopted, have significant impacts for residents of high-tax states. New Mexico is not one of those states with a top marginal income tax rate of 4.9%. The near-term effects on the economy would be minimal, but long term, residents would have less money in their pockets to spend on goods and services.

Conclusion

We continue to run this portfolio as an actively managed laddered portfolio. Laddering a portfolio is a simple way to diversify its investment along its entire investment universe. While past performance does not guarantee future results, our study showed that this structure outperformed other structures around 60% of the time and added 0.15% to 0.25% of total return annually from 1997 through 2016.* Our view is that the current investment environment is not compensating investors enough to take on extra risk, so we have positioned our portfolios at the lower end of their risk spectrums.

Thank you for your continued trust in us.

Sincerely

Christopher Ryon, CFA	Nicholos Venditti, CFA
Portfolio Manager	Portfolio Manager
Managing Director	Managing Director

* We examined three hypothetical portfolios of bonds from December 1997 to December 2016. One using a laddering strategy, one using a barbell strategy, and a third using a bullet strategy. For the laddering strategy, the BofA Merrill Lynch 1–12 Year Municipal Index was used as a proxy, since, similar to a ladder, it contains bonds relatively evenly spread across all maturities within the index. The barbell strategy is a duration management technique wherein bonds are clustered at the two extremes of a maturity range. For the barbell strategy, the BofA Merrill Lynch 1–3 Year Municipal Index and BofA Merrill Lynch 8–12 Year Municipal Index were combined. The two indices were weighted in such a way as to give them the same duration as the broader 1–12 Year Index, and each year the portfolio was re-weighted back to the original index weights. This was done to make the two portfolios duration-neutral so that the impact of the strategy chosen could be isolated. The bullet strategy invests at the duration midpoint of the portfolio, therefore the BofA Merrill Lynch 6–8 Year Index was used to represent the bullet strategy. For additional information, see www.thornburg.com/whyladder. Past performance does not guarantee future results.

The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

Average Annual Total Returns

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
A Shares (Incep: 6/18/91)
Without sales charge		-0.78	%		2.02	%		1.85	%		3.14	%		4.32	%
With sales charge		-2.77	%		1.34	%		1.44	%		2.93	%		4.24	%
D Shares (Incep: 6/1/99)		-1.00	%		1.80	%		1.60	%		2.88	%		3.20	%
I Shares (Incep: 2/1/07)		-0.45	%		2.38	%		2.21	%		3.48	%		3.53	%

30-DAY YIELDS, A SHARES

(with sales charge)

Annualized Distribution Yield	2.28	%
SEC Yield	1.22	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 2.00%. There is no sales charge for Class D and Class I shares. As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 0.97%; D shares, 1.21%; I shares, 0.63%.

Glossary

The BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 3 years and less than 15 years.

The BofA Merrill Lynch indices used in the Ladder vs Barbell & Bullet study are model portfolios of municipal obligations throughout the United States, with maturities ranging either from one to three years, six to eight years, eight to twelve years, or one to twelve years. These indices are subsets of the BofA Merrill Lynch U.S. Municipal Securities Index, which is comprised of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least a one-year remaining term to final maturity, a fixed coupon schedule and an investment grade rating.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.

Bond Credit Ratings (Credit Quality) – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Insured Bonds – Individual bonds are sometimes insured by private companies. The insurance guarantees the payment of principal and interest on a bond issue if the issuer defaults. Mutual funds are not insured, even if the underlying bonds are insured.

Core Personal Consumption Expenditure Index (Core PCE) – Core Personal Consumption Expenditure Index is a measure of the Personal Consumption Expenditure Index that excludes the more volatile and seasonal food and energy prices.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.

General Obligation Bond (GO) – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.

Laddering – Laddering involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.

Revenue Bond – A bond on which the debt service is payable solely from the revenue generated from the operation of the project being financed or a category of facilities, or from other non-tax sources.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

6    Semi-Annual Report

Fund Summary
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal and New Mexico state individual income taxes as is consistent, in the view of the investment advisor, with preservation of capital.

The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios.

This Fund offers New Mexico investors double tax-free yields (may be subject to Alternative Minimum Tax) in a laddered municipal bond portfolio with a dollar-weighted average maturity of normally three to 10 years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.

KEY PORTFOLIO ATTRIBUTES

Number of Bonds	130
Effective Duration	4.3 Yrs
Average Maturity	7.7 Yrs

LONG-TERM STABILITY OF PRINCIPAL

Net Asset Value History of A Shares

SECURITY CREDIT RATINGS

A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.

PORTFOLIO LADDER

Percent of portfolio maturing in each year. Cash includes cash equivalents and other.

There is no guarantee that the Fund will meet its investment objectives.

All data is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    7

Schedule of Investments
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
MUNICIPAL BONDS — 96.16%
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2021 pre-refunded 7/1/2019 (New Mexico Utilities, Inc. Water System)	AA+/Aa2	$	1,760,000	$	1,910,867
Albuquerque Bernalillo County Water Utility Authority, 5.50% due 7/1/2025 pre-refunded 7/1/2019 (New Mexico Utilities, Inc. Water System)	AA+/Aa2		1,000,000		1,096,800
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 (2005 NMFA Loan and Joint Water and Sewer System Improvements)	AA+/Aa2		2,000,000		2,361,600
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 pre-refunded 7/1/2018 (San Juan-Chama Drinking Water Project)	AA+/Aa2		1,420,000		1,491,270
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2031 (2007 NMFA Loan and Joint Water and Sewer System Improvements)	AA+/Aa2		500,000		578,115
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2032 (2007 NMFA Loan and Joint Water and Sewer System Improvements)	AA+/Aa2		1,000,000		1,149,890
a Albuquerque Metropolitan Arroyo Flood Control Authority GO, 4.00% due 8/1/2017	AAA/Aaa		500,000		503,985
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2019 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding)	AA/Aa1		3,585,000		3,904,997
Albuquerque Municipal School District No. 12 GO, 4.00% due 8/1/2029 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding)	AA/Aa1		1,300,000		1,387,204
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2031 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding)	AA/Aa1		1,000,000		1,171,490
Bernalillo County, 5.00% due 4/1/2021 (Government Services; Insured: Natl-Re)	AAA/Aa2		3,000,000		3,214,560
Bernalillo County, 5.25% due 10/1/2022 (Government Services; Insured: AMBAC)	AAA/Aa2		3,170,000		3,755,309
Bernalillo County, 5.25% due 10/1/2023 (Government Services; Insured: AMBAC)	AAA/Aa2		1,275,000		1,530,051
Bernalillo County, 5.25% due 10/1/2025 (Government Services; Insured: AMBAC)	AAA/Aa2		3,850,000		4,661,156
Bernalillo County, 5.25% due 4/1/2027 (Government Services)	AAA/Aa2		300,000		358,698
Bernalillo County, 5.70% due 4/1/2027 (Government Services)	AAA/Aa2		3,000,000		3,676,950
Bernalillo County, 5.70% due 4/1/2027 (Government Services; Insured: Natl-Re)	AAA/Aa2		815,000		994,390
Carlsbad Municipal School District GO, 5.00% due 8/1/2018 (Educational Facilities) (State Aid Withholding)	NR/Aa2		1,000,000		1,054,410
Carlsbad Municipal School District GO, 5.00% due 8/1/2023 (Educational Facilities) (State Aid Withholding)	NR/Aa2		1,650,000		1,955,365
Central New Mexico Community College GO, 5.00% due 8/15/2020 (Campus Buildings Acquisition & Improvements)	AA+/Aa1		1,375,000		1,541,595
Central New Mexico Community College GO, 5.00% due 8/15/2021 (Campus Buildings Acquisition & Improvements)	AA+/Aa1		1,435,000		1,646,949
Central New Mexico Community College GO, 5.00% due 8/15/2022 (Campus Buildings Acquisition & Improvements)	AA+/Aa1		1,100,000		1,285,548
Central New Mexico Community College GO, 4.00% due 8/15/2023 (Campus Buildings Acquisition & Improvements)	AA+/Aa1		1,920,000		2,096,736
Cibola County, 5.00% due 6/1/2025 (County Building Improvements)	NR/A2		360,000		416,876
Cibola County, 5.00% due 6/1/2025 (County Building Improvements)	NR/NR		355,000		411,086
City of Albuquerque, 5.00% due 7/1/2021 (Lodgers’ Tax Obligation Reserve Fund)	AAA/Aa2		1,340,000		1,448,312
City of Albuquerque, 5.00% due 7/1/2021 (Lodgers’ Tax Obligation Reserve Fund)	AAA/Aa2		3,000,000		3,242,490
b City of Albuquerque, 5.00% due 7/1/2025 (I-25/Paseo del Norte Interchange)	AAA/Aa2		540,000		633,339
City of Albuquerque, 5.00% due 7/1/2027 (I-25/Paseo del Norte Interchange)	AAA/Aa2		555,000		643,689
City of Albuquerque, 5.00% due 7/1/2033 (City Infrastructure Improvements)	AAA/Aa2		1,100,000		1,256,222
City of Albuquerque, 5.00% due 7/1/2034 (City Infrastructure Improvements)	AAA/Aa2		1,200,000		1,364,796
a City of Albuquerque GO, 5.00% due 7/1/2023 (City Infrastructure Improvements)	AAA/Aa1		1,360,000		1,612,008
a City of Albuquerque GO, 5.00% due 7/1/2026 (City Infrastructure Improvements)	AAA/Aa1		870,000		1,068,238
City of Farmington, 5.00% due 6/1/2017 (San Juan Regional Medical Center)	NR/A3		530,000		533,551
City of Farmington, 5.125% due 6/1/2018 (San Juan Regional Medical Center)	NR/A3		570,000		572,058
City of Farmington, 5.125% due 6/1/2019 (San Juan Regional Medical Center)	NR/A3		645,000		647,264
City of Farmington, 5.00% due 6/1/2022 (San Juan Regional Medical Center)	NR/A3		2,825,000		2,841,554
City of Farmington, 4.70% due 5/1/2024 (Arizona Public Service Co.-Four Corners Project)	A-/A2		965,000		1,035,377
City of Farmington, 4.70% due 9/1/2024 (Arizona Public Service Co.-Four Corners Project)	A-/A2		4,000,000		4,291,680
City of Farmington, 1.875% due 4/1/2029 put 4/1/2020 (Southern California Edison Co.-Four Corners Project)	A/Aa3		3,000,000		3,000,450
City of Gallup, 5.125% due 6/1/2017 (City Infrastructure Improvements)	NR/NR		140,000		140,851
City of Gallup, 5.125% due 6/1/2019 (City Infrastructure Improvements)	NR/NR		310,000		328,541
City of Las Cruces, 4.00% due 6/1/2021 (Joint Utility System)	NR/Aa2		100,000		110,230
City of Las Cruces, 5.00% due 6/1/2021 (NMFA Loan)	NR/Aa3		730,000		804,183
City of Las Cruces, 4.00% due 6/1/2022 (Joint Utility System)	NR/Aa2		670,000		746,467
City of Las Cruces, 5.00% due 6/1/2022 (NMFA Loan)	NR/Aa3		765,000		846,021
City of Las Cruces, 4.00% due 6/1/2023 (Joint Utility System)	NR/Aa2		695,000		779,797
City of Las Cruces, 5.00% due 6/1/2023 (NMFA Loan)	NR/Aa3		800,000		883,688
City of Las Cruces, 5.00% due 6/1/2024 (NMFA Loan)	NR/Aa3		840,000		926,772
City of Las Cruces, 4.00% due 6/1/2025 (Joint Utility System)	NR/Aa2		750,000		846,713
City of Las Cruces, 5.00% due 6/1/2030 (NMFA Loan)	NR/Aa3		2,000,000		2,193,820
City of Las Cruces, 5.00% due 6/1/2037 (NMFA Loan)	NR/Aa3		5,000,000		5,457,100
City of Rio Rancho, 2.00% due 5/15/2017 (Water and Wastewater System)	AA-/Aa3		100,000		100,134
City of Roswell, 5.00% due 6/1/2026 (Joint Water and Sewer Improvement; Insured: BAM)	AA/A1		830,000		988,289
City of Roswell, 5.00% due 6/1/2035 (Joint Water and Sewer Improvement; lnsured: BAM)	AA/A1		580,000		652,535
City of Roswell, 5.00% due 6/1/2036 (Joint Water and Sewer Improvement; Insured: BAM)	AA/A1		640,000		718,432

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
City of Santa Fe, 4.00% due 6/1/2017 (Public Facility Capital Projects)	AA+/NR	$	100,000	$	100,547
City of Santa Fe, 4.50% due 5/15/2027 (El Castillo Retirement Residences)	BBB-/NR		3,275,000		3,368,043
City of Santa Fe, 5.00% due 5/15/2034 (El Castillo Retirement Residences)	BBB-/NR		1,465,000		1,500,790
City of Santa Fe GRT, 5.00% due 6/1/2028 (Public Facilities)	AA+/NR		930,000		1,081,990
City of Santa Fe GRT, 5.00% due 6/1/2029 (Public Facilities)	AA+/NR		950,000		1,098,514
Colfax County, 5.00% due 9/1/2019 (Government Center Facility) (ETM)	A-/NR		355,000		373,361
Colfax County, 5.50% due 9/1/2029 pre-refunded 9/1/2019 (Government Center Facility)	A-/NR		2,510,000		2,766,898
County of Los Alamos, 4.875% due 6/1/2018 (Public Facilities)	AA+/A1		500,000		522,320
County of Los Alamos, 5.625% due 6/1/2023 pre-refunded 6/1/2018 (Public Facilities)	AA+/A1		1,000,000		1,054,160
County of Los Alamos, 5.75% due 6/1/2024 pre-refunded 6/1/2018 (Public Facilities)	AA+/A1		3,000,000		3,166,800
County of Los Alamos, 5.75% due 6/1/2025 pre-refunded 6/1/2018 (Public Facilities)	AA+/A1		1,000,000		1,055,600
Farmington Municipal School District No. 5 GO, 5.00% due 9/1/2019 (Educational Facilities) (State Aid Withholding)	NR/Aa2		600,000		655,692
Government of Guam, 5.375% due 12/1/2024 pre-refunded 12/1/2019 (Layon Solid Waste Disposal Facility)	BBB+/NR		2,000,000		2,212,980
Government of Guam, 5.00% due 11/15/2031 (Various Capital Projects)	A/NR		2,500,000		2,650,725
Government of Guam, 5.00% due 11/15/2033 (Various Capital Projects)	A/NR		2,500,000		2,626,675
Grant County, 5.50% due 7/1/2020 (State Dept. of Health-Ft. Bayard Project)	AA-/Aa2		1,565,000		1,647,209
b Grant County, 5.50% due 7/1/2021 (State Dept. of Health-Ft. Bayard Project)	AA-/Aa2		1,655,000		1,741,937
Grant County, 5.50% due 7/1/2022 (State Dept. of Health-Ft. Bayard Project)	AA-/Aa2		1,745,000		1,836,665
Guam Power Authority, 5.00% due 10/1/2026 (Electric Power System; Insured: AGM)	AA/A2		2,000,000		2,260,380
Las Cruces School District No. 2 GO, 2.00% due 8/1/2018 (New Mexico SD Credit Enhancement Program) (State Aid Withholding)	NR/Aa2		630,000		638,694
b New Mexico Educational Assistance Foundation, 4.00% due 9/1/2017 (Student Loans)	NR/Aaa		1,150,000		1,165,134
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2019 (Student Loans)	AAA/Aaa		1,000,000		1,096,600
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2022 (Student Loans)	AAA/Aaa		3,000,000		3,338,310
New Mexico Finance Authority, 5.00% due 12/15/2017 (State Highway Infrastructure)	AA/Aa2		250,000		257,383
New Mexico Finance Authority, 5.00% due 6/15/2022 (The Public Project Revolving Fund Program; Insured: Natl-Re)	AA+/Aa2		1,300,000		1,310,582
New Mexico Finance Authority, 5.00% due 6/15/2024 (The Public Project Revolving Fund Program; Insured: Natl-Re)	AA+/Aa2		7,000,000		7,061,530
New Mexico Finance Authority, 5.00% due 6/15/2026 (State Highway Infrastructure)	AA/Aa2		1,220,000		1,436,099
New Mexico Finance Authority, 0.90% due 12/15/2026 put 4/7/2017 (The Public Project Revolving Fund Program; LOC: State Street Bank & Trust) (weekly demand notes)	AA-/Aa1		200,000		200,000
New Mexico Finance Authority, 5.00% due 6/15/2027 (State Highway Infrastructure)	AA/Aa2		1,195,000		1,396,692
New Mexico Finance Authority, 5.00% due 6/15/2031 (The Public Project Revolving Fund Program)	AA+/Aa2		1,000,000		1,153,120
New Mexico Hospital Equipment Loan Council, 6.00% due 8/1/2023 pre-refunded 8/1/2018 (Presbyterian Healthcare Services)	AA/Aa3		6,000,000		6,391,560
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2031 (Presbyterian Healthcare Services)	AA/Aa3		600,000		682,662
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2032 (Haverland Carter Lifestyle Group)	NR/NR		2,000,000		2,083,160
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2039 (Presbyterian Healthcare Services)	AA/Aa3		3,000,000		3,174,480
New Mexico Housing Authority, 5.30% due 12/1/2022 (El Paseo Apartments; Insured: AMBAC) (AMT)	NR/NR		525,000		525,347
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2020 (Campus Buildings Acquisition & Improvements)	A+/A1		590,000		652,280
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2023 (Campus Buildings Acquisition & Improvements)	A+/A1		685,000		770,700
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2024 (Campus Buildings Acquisition & Improvements)	A+/A1		525,000		584,315
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2025 (Campus Buildings Acquisition & Improvements)	A+/A1		505,000		560,752
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2028 (Campus Buildings Acquisition & Improvements)	A+/A1		1,500,000		1,661,115
New Mexico Mortgage Finance Authority, 5.25% due 7/1/2023 (HERO SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) (AMT)	AA+/NR		410,000		417,310
New Mexico Mortgage Finance Authority, 5.375% due 7/1/2023 (Saver SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) (AMT)	AA+/NR		175,000		175,672
New Mexico Mortgage Finance Authority, 4.625% due 3/1/2028 (NIBP SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC)	AA+/NR		925,000		974,978
New Mexico Mortgage Finance Authority, 5.50% due 7/1/2028 (HERO SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) (AMT)	AA+/NR		900,000		912,618
New Mexico Mortgage Finance Authority, 5.60% due 7/1/2028 (Saver SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) (AMT)	AA+/NR		160,000		162,466
New Mexico Mortgage Finance Authority, 5.40% due 9/1/2029 (Saver SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC)	AA+/NR		465,000		482,252
Regents of the University of New Mexico, 6.00% due 6/1/2021 (Campus Buildings Acquisition & Improvements)	AA/Aa2		370,000		402,460
Regents of the University of New Mexico, 0.92% due 6/1/2026 put 4/7/2017 (Campus Buildings Acquisition & Improvements; SPA: U.S. Bank, N.A.) (weekly demand notes)	AA/Aa2		4,500,000		4,500,000
Regents of the University of New Mexico, 4.50% due 6/1/2034 (Campus Buildings Acquisition & Improvements)	AA/Aa2		1,500,000		1,652,550
Regents of the University of New Mexico, 4.50% due 6/1/2035 (Campus Buildings Acquisition & Improvements)	AA/Aa2		1,500,000		1,646,295
Regents of the University of New Mexico, 4.50% due 6/1/2036 (Campus Buildings Acquisition & Improvements)	AA/Aa2		1,500,000		1,642,560
Rio Rancho Public School District No. 94 GO, 3.00% due 8/1/2017 (State Aid Withholding)	NR/Aa2		2,530,000		2,547,685
San Juan County, 4.00% due 6/15/2017 (County Capital Improvements)	A+/A2		500,000		503,250
San Juan County, 5.00% due 6/15/2028 (County Capital Improvements)	A+/A1		1,280,000		1,461,888
San Juan County, 5.00% due 6/15/2030 (County Capital Improvements)	A+/A1		1,365,000		1,543,583
Santa Fe County, 5.00% due 2/1/2018 (County Correctional System; Insured: AGM)	AA/A2		205,000		210,256

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Santa Fe County, 5.00% due 6/1/2025 pre-refunded 6/1/2018 (County Courthouse and Other Public Facilities)		AA+/Aa2	$	1,400,000	$	1,465,520
Santa Fe County, 5.00% due 6/1/2026 pre-refunded 6/1/2018 (County Courthouse and Other Public Facilities)		AA+/Aa2		1,535,000		1,606,838
Santa Fe County, 6.00% due 2/1/2027 (County Correctional System; Insured: AGM)		AA/A2		1,520,000		1,829,913
Santa Fe County GRT, 5.00% due 6/1/2025 (County Buildings & Facilities)		AA+/NR		1,250,000		1,505,987
Santa Fe County GRT, 5.00% due 6/1/2026 (County Buildings & Facilities)		AA+/NR		640,000		763,597
Santa Fe County GRT, 5.00% due 6/1/2027 (County Buildings & Facilities)		AA+/NR		275,000		323,513
Santa Fe Public School District GO, 3.00% due 8/1/2017 (Santa Fe County School Facilities) (State Aid Withholding)		AA/Aa1		400,000		403,076
State of New Mexico, 5.00% due 7/1/2020 (Educational Facilities)		AA-/Aa2		4,000,000		4,468,040
State of New Mexico, 5.00% due 7/1/2022 pre-refunded 7/1/2019 (Capital Improvements)		AA-/Aa2		350,000		380,002
State of New Mexico, 5.00% due 7/1/2025 (Educational Facilities)		AA-/Aa2		2,000,000		2,410,320
Taos Municipal School District No. 1 GO, 5.00% due 9/1/2021 (Educational Facilities) (State Aid Withholding)		NR/Aa2		520,000		597,319
Town of Silver City, 2.00% due 12/1/2018 (Joint Utility System Improvement; Insured: BAM)		AA/NR		260,000		263,435
Town of Silver City, 2.00% due 12/1/2019 (Joint Utility System Improvement; Insured: BAM)		AA/NR		265,000		270,228
Town of Silver City, 4.00% due 6/1/2029 (Public Facility Capital Projects)		A+/NR		1,000,000		1,034,240
Town of Silver City, 4.25% due 6/1/2032 (Public Facility Capital Projects)		A+/NR		1,050,000		1,083,537
Village of Los Ranchos de Albuquerque, 4.50% due 9/1/2040 (Albuquerque Academy)		A/NR		3,000,000		3,111,420
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029 (Diageo Project)		NR/Caa2		2,500,000		2,068,750
Zuni Public School District, 5.00% due 8/1/2028 (Teacher Housing Projects)		A/NR		1,600,000		1,774,464
TOTAL INVESTMENTS — 96.16% (Cost $191,002,386)					$	197,328,321
OTHER ASSETS LESS LIABILITIES — 3.84%						7,882,084
NET ASSETS — 100.00%					$	205,210,405

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.

a When-issued security.

b Segregated as collateral for a when-issued security.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

AGM	Insured by Assured Guaranty Municipal Corp.
AMBAC	Insured by American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax
BAM	Insured by Build America Mutual Insurance Co.
ETM	Escrowed to Maturity

FHLMC	Insured by Federal Home Loan Mortgage Corp.
FNMA	Collateralized by Federal National Mortgage Association
GNMA	Collateralized by Government National Mortgage Association
GO	General Obligation
GRT	Gross Receipts Tax
Natl-Re	Insured by National Public Finance Guarantee Corp.

See notes to financial statements.

10    Semi-Annual Report

Statement of Assets and Liabilities
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (cost $191,002,386) (Note 3)	$	197,328,321
Cash		8,879,594
Receivable for fund shares sold		91,509
Interest receivable		2,560,202
Prepaid expenses and other assets		622
Total Assets		208,860,248
LIABILITIES
Payable for investments purchased		3,157,868
Payable for fund shares redeemed		260,428
Payable to investment advisor and other affiliates (Note 4)		141,004
Accounts payable and accrued expenses		52,818
Dividends payable		37,725
Total Liabilities		3,649,843
NET ASSETS	$	205,210,405
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(25,896	)
Net unrealized appreciation on investments		6,325,935
Accumulated net realized gain (loss)		(1,250,641	)
Net capital paid in on shares of beneficial interest		200,161,007
	$	205,210,405
NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($123,411,401 applicable to 9,304,084 shares of beneficial interest outstanding - Note 5)	$	13.26
Maximum sales charge, 2.00% of offering price		0.27
Maximum offering price per share	$	13.53
Class D Shares:
Net asset value, offering and redemption price per share ($24,257,877 applicable to 1,827,900 shares of beneficial interest outstanding - Note 5)	$	13.27
Class I Shares:
Net asset value, offering and redemption price per share ($57,541,127 applicable to 4,339,943 shares of beneficial interest outstanding - Note 5)	$	13.26

See notes to financial statements.

Semi-Annual Report    11

Statement of Operations
Thornburg New Mexico Intermediate Municipal Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Interest income (net of premium amortized of $976,559)	$	3,561,201
EXPENSES
Investment advisory fees (Note 4)		532,261
Administration fees (Note 4)
Class A Shares		79,759
Class D Shares		15,855
Class I Shares		14,980
Distribution and service fees (Note 4)
Class A Shares		159,518
Class D Shares		60,127
Transfer agent fees
Class A Shares		29,701
Class D Shares		5,352
Class I Shares		13,044
Registration and filing fees
Class A Shares		600
Class D Shares		315
Class I Shares		215
Custodian fees (Note 2)		25,810
Professional fees		23,246
Accounting fees (Note 4)		3,608
Trustee fees		5,221
Other expenses		14,239
Total Expenses		983,851
Less:
Expenses reimbursed by investment advisor (Note 4)		(1,356	)
Net Expenses		982,495
Net Investment Income		2,578,706
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments		(96,257	)
Net change in unrealized appreciation (depreciation) on investments		(6,844,847	)
Net Realized and Unrealized Loss		(6,941,104	)
Net Decrease in Net Assets Resulting from Operations	$	(4,362,398	)

See notes to financial statements.

12    Semi-Annual Report

Statements of Changes in Net Assets

Thornburg New Mexico Intermediate Municipal Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	2,578,706		$	5,145,164
Net realized gain (loss) on investments		(96,257	)		(8,510	)
Net unrealized appreciation (depreciation) on investments		(6,844,847	)		2,102,714
Net Increase (Decrease) in Net Assets Resulting from Operations		(4,362,398	)		7,239,368
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(1,504,624	)		(3,030,645	)
Class D Shares		(270,641	)		(560,708	)
Class I Shares		(803,441	)		(1,553,811	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(9,238,640	)		(4,494,643	)
Class D Shares		(3,368,169	)		(727,598	)
Class I Shares		(6,316,883	)		7,352,843
Net Increase (Decrease) in Net Assets		(25,864,796	)		4,224,806
NET ASSETS
Beginning of Period		231,075,201			226,850,395
End of Period	$	205,210,405		$	231,075,201
Distribution in excess of net investment income	$	(25,896	)	$	(25,896	)

* Unaudited.

See notes to financial statements.

Semi-Annual Report    13

Notes to Financial Statements
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg New Mexico Intermediate Municipal Fund (the “Fund”) is a non-diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal and New Mexico state individual income tax as is consistent, in the view of Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.

The Fund currently offers three classes of shares of beneficial interest: Class A, Class D, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class D shares are sold at net asset value without a sales charge at the time of purchase or redemption, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

14    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	191,002,386
Gross unrealized appreciation on a tax basis	$	7,434,781
Gross unrealized depreciation on a tax basis		(1,108,846	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	6,325,935

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $6,818. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $1,147,566, (of which $87,413 are short-term and $1,060,153 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carry-forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Semi-Annual Report    15

Notes to Financial Statements, Continued
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

Valuation of Securities: Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities Municipal Bonds	$	197,328,321	$	—	$	197,328,321	$	—
Total Investments in Securities	$	197,328,321	$	—	$	197,328,321	$	—

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017.

16    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.500	%
Next $500 million		0.450
Next $500 million		0.400
Next $500 million		0.350
Over $2 billion		0.275

The Fund’s effective management fee for the six months ended March 31, 2017 was 0.50% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $3,608 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $297 from the sale of Class A shares.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction an amount not to exceed .25 or 1% per annum of the average daily net assets attributable to Class A and Class D shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I shares. The Advisor and the Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class D shares, under which the Fund compensates the Distributor for services in promoting the sale of Class D shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class D shares.

Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $966 for Class A shares, $381 for Class D shares, and $9 for Class I shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by the Trustees and Officers of the Trust and the Advisors is approximately 8.41%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had transactions with affiliated funds of $2,586,402 in purchases and $3,608,794 in sales.

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		403,185		$	5,382,784			915,431		$	12,528,291
Shares issued to shareholders in reinvestment of dividends		98,285			1,306,585			188,232			2,574,787
Shares repurchased		(1,198,986	)		(15,928,009	)		(1,432,981	)		(19,597,721	)
Net increase (decrease)		(697,516	)	$	(9,238,640	)		(329,318	)	$	(4,494,643	)
Class D Shares
Shares sold		229,652		$	3,055,016			309,896		$	4,243,840
Shares issued to shareholders in reinvestment of dividends		18,624			247,758			38,634			528,742
Shares repurchased		(503,069	)		(6,670,943	)		(402,304	)		(5,500,180	)
Net increase (decrease)		(254,793	)	$	(3,368,169	)		(53,774	)	$	(727,598	)
Class I Shares
Shares sold		619,401		$	8,220,823			673,041		$	9,199,727
Shares issued to shareholders in reinvestment of dividends		55,944			743,576			105,479			1,442,583
Shares repurchased		(1,153,691	)		(15,281,282	)		(241,095	)		(3,289,467	)
Net increase (decrease)		(478,346	)	$	(6,316,883	)		537,425		$	7,352,843

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $9,204,707 and $22,432,375, respectively.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit risk, market and economic risk, liquidity risk, diversification risk, and the risk of investing mainly in the obligations primarily originating in a single state. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

18    Semi-Annual Report

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Semi-Annual Report    19

Financial Highlights

    Thornburg New Mexico Intermediate Municipal Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																		RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+		NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS	TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)	NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	13.67		0.16		(0.41	)		(0.25	)		(0.16	)	—		(0.16	)	$13.26		2.36	(d)		0.99	(d)		0.99	(d)		0.99	(d)		(1.85	)	4.62	$	123,411
2016(c)	$	13.55		0.30		0.12			0.42			(0.30	)	—		(0.30	)	$13.67		2.18			0.97			0.97			0.97			3.11		6.80	$	136,743
2015(c)	$	13.60		0.34		(0.05	)		0.29			(0.34	)	—		(0.34	)	$13.55		2.50			0.98			0.98			0.98			2.15		19.01	$	139,939
2014(c)	$	13.35		0.39		0.25			0.64			(0.39	)	—		(0.39	)	$13.60		2.87			0.97			0.97			0.97			4.83		10.79	$	143,994
2013(c)	$	13.95		0.38		(0.60	)		(0.22	)		(0.38	)	—		(0.38	)	$13.35		2.76			0.96			0.95			0.96			(1.61	)	11.78	$	148,499
2012(c)	$	13.72		0.41		0.24			0.65			(0.41	)	(0.01)		(0.42	)	$13.95		2.95			0.95			0.95			0.95			4.80		11.66	$	187,578
CLASS D SHARES
2017(b)	$	13.68		0.14		(0.41	)		(0.27	)		(0.14	)	—		(0.14	)	$13.27		2.13	(d)		1.21	(d)		1.21	(d)		1.21	(d)		(1.95	)	4.62	$	24,258
2016	$	13.55		0.28		0.12			0.40			(0.27	)	—		(0.27	)	$13.68		1.94			1.21			1.21			1.21			2.94		6.80	$	28,489
2015	$	13.61		0.31		(0.06	)		0.25			(0.31	)	—		(0.31	)	$13.55		2.27			1.20			1.20			1.20			1.84		19.01	$	28,953
2014	$	13.36		0.35		0.25			0.60			(0.35	)	—		(0.35	)	$13.61		2.60			1.23			1.23			1.23			4.55		10.79	$	28,438
2013	$	13.96		0.34		(0.59	)		(0.25	)		(0.35	)	—		(0.35	)	$13.36		2.51			1.21			1.21			1.22			(1.85	)	11.78	$	28,858
2012	$	13.72		0.37		0.26			0.63			(0.38	)	(0.01)		(0.39	)	$13.96		2.71			1.18			1.18			1.22			4.62		11.66	$	31,984
CLASS I SHARES
2017(b)	$	13.67		0.18		(0.41	)		(0.23	)		(0.18	)	—		(0.18	)	$13.26		2.68	(d)		0.66	(d)		0.66	(d)		0.66	(d)		(1.69	)	4.62	$	57,541
2016	$	13.54		0.35		0.12			0.47			(0.34	)	—		(0.34	)	$13.67		2.52			0.63			0.63			0.63			3.53		6.80	$	65,843
2015	$	13.59		0.38		(0.05	)		0.33			(0.38	)	—		(0.38	)	$13.54		2.80			0.65			0.65			0.65			2.48		19.01	$	57,958
2014	$	13.35		0.43		0.24			0.67			(0.43	)	—		(0.43	)	$13.59		3.19			0.65			0.64			0.65			5.09		10.79	$	37,380
2013	$	13.95		0.43		(0.61	)		(0.18	)		(0.42	)	—		(0.42	)	$13.35		3.09			0.61			0.61			0.61			(1.29	)	11.78	$	25,590
2012	$	13.71		0.46		0.25			0.71			(0.46	)	(0.01)		(0.47	)	$13.95		3.30			0.61			0.61			0.61			5.24		11.66	$	38,099

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

20    Semi-Annual Report Semi-Annual Report    21

Expense Example
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	981.52	$	4.88
Hypothetical*	$	1,000.00	$	1,020.00	$	4.98
CLASS D SHARES
Actual	$	1,000.00	$	980.47	$	5.97
Hypothetical*	$	1,000.00	$	1,018.91	$	6.08
CLASS I SHARES
Actual	$	1,000.00	$	983.12	$	3.27
Hypothetical*	$	1,000.00	$	1,021.63	$	3.34

† Expenses are equal to the annualized expense ratio for each class (A: 0.99%; D: 1.21%; I: 0.66%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

22    Semi-Annual Report

Other Information
Thornburg New Mexico Intermediate Municipal Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg. com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    23

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task—our principal obligation to you—is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

24     Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    25

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26     Semi-Annual Report

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Semi-Annual Report    27

To receive shareholder reports, prospectuses, and proxy statements electronically, go to www.thornburg.com/edelivery.   This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH178

Semi-Annual Report March 31, 2017 THORNBURG NEW YORK INTERMEDIATE MUNICIPAL FUND

About Thornburg Investment Management It’s more than what we do. It’s how we do it. At Thornburg, we are very different in how we think, invest, and are structured . We believe this difference is what makes us successful in helping individuals reach their long-term financial goals . Flexible Perspective Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value . Collaboration Collectively, we hone ideas via borderless cross-pollination for better judgment and better results . Portfolio Construction Disciplined construction guided more by our convictions than convention . CONVICTION Thorough analysis and our relative-value framework lead to conviction in our securities selection . UNCONVENTIONAL Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point . Structured for Excellence How we think and how we invest is made possible by how we’re structured . TEAM APPROACH FAR FROM THE HERD ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg New York

Intermediate Municipal Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	10
Statement of Operations	11
Statements of Changes in Net Assets	12
Notes to Financial Statements	13
Financial Highlights	18
Expense Example	20
Other Information	21
Trustees’ Statement to Shareholders	22

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	THNYX	885-215-665
Class I	TNYIX	885-216-705

Minimum investments for Class I shares may be higher than those for Class A. Class I shares may not be available to all investors.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

Semi-Annual Report    3

Letter to Shareholders

Thornburg New York Intermediate Municipal Fund March 31, 2017 (Unaudited)

April 28, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg New York Intermediate Municipal Fund. The net asset value (NAV) of the Class A shares decreased by 46 cents to $12.94 per share during the six-month period ended March 31, 2017. If you were with us the entire period, you received dividends of 16.12 cents per share. If you reinvested your dividends, you received 16.21 cents per share. Dividends were higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund underperformed the index with a negative 2.23% total return (without sales charge) for the six months ended March 31, 2017, compared to the negative 1.94% return for the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index.

The Fund’s duration as well as curve positioning added 0.61% to relative performance. The Fund’s credit allocations detracted 0.09%, while other risk factors detracted 0.33%. Fund expenses accounted for the remaining differences.

The Municipal Bond Market

After a few years of relative quiet in the municipal bond market, things heated up following the election of Donald Trump in 2016. While stocks were rallying, bond prices, even municipal bond prices, came under pressure. Bond yields initially rose after the election based on expectations for greater infrastructure spending, stronger growth and higher inflation. The uptick in rates led mutual fund investors to sell their shares, which caused municipal bond mutual funds to sell their bonds to meet those redemptions. After significant inflows in January to September of 2016, investors pulled $26 billion from municipal bond funds in November and December, some of which was related to tax-loss selling.

When the calendar turned in 2017, these outflows slowed and the municipal bond market produced positive returns. A contributing factor to positive returns was a decline in municipal bond issuance, as during the first quarter of 2017, the supply of new municipal bonds declined by 12% from the same time last year.

The value metrics we use at Thornburg suggest that the municipal bond market continues to price in the rosiest of scenarios moving forward, as investors have been pushed out of the risk spectrum. That is why we have Thornburg New York Intermediate Municipal Fund positioned in the lower end of its respective risk spectrum. In this environment, we continue to keep duration shorter, credit quality higher and we maintain higher levels of reserves.

Inside the Risk Metrics

Real yields, which indicate how much yield over inflation investors are being paid to own municipal bonds, increased over the six-month period. As of September 30, 2016, 10-year AAA general obligation (GO) bonds were yielding 1.64% and the Core Personal Consumption Expenditures Index (PCE) was running at 1.70%, so investors were earning less than inflation. By the end of February 2017, the yield on 10-year AAA GO bonds had increased to 2.30%, while Core PCE was running at 1.80%. While certainly more interesting at the end of the period, the 0.5% real yield was significantly less than the average of 2% investors have earned over the past 20 years.

The second thing to consider is credit spreads, which reflect the incremental yield an investor earns from owning a lower-rated credit versus a higher-rated credit, and which today remain narrow. As of March 31, 2017, an investor earned about 1.28% more for owning a 10-year BBB revenue bond versus a 10-year AAA GO bond. That is slightly higher than the average 0.75% an investor earned between 1994 and 2007. However, in 2007, approximately 50% of the new-issue municipal bond market was insured by AAA/AAA municipal bond insurers. Today, there are no AAA/AAA municipal bond insurers, and insurance coverage generally accounts for only 6% to 8% of the new-issue municipal bond market.

Finally, the slope of the yield curve, which tracks how much incremental yield an investor earns by owning securities with longer maturities, is slightly flatter than historical averages. Currently, investors are earning about 1.4% more for owning a 10-year AAA GO municipal bond, versus a one-year AAA GO municipal bond. Since 1994, an investor earned on average almost 1.6% to extend maturities from one to 10 years.

The Economy and Tax Reform

The U.S. economy continued its slow recovery in 2016, growing at a rate of 1.6% for 2016 in aggregate.

Unemployment continued to tick down. During the six-month period ended March 31, 2017, the U.S. economy added 976,000 jobs and by the end of the period the unemployment rate had fallen to 4.5%. Inflation remained stable, with the Core PCE Index reading 1.75% through March, below the Fed’s 2% target range.

Taken in aggregate, the economy continues to grow, jobs are being added and inflation has remained contained to date. In an effort to keep the economy in check, the U.S. Federal Reserve raised the Fed funds rate in December of 2016, and again in March of 2017.

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

The economic health of the municipal bond market appears steady with a couple of notable exceptions. The drama in Puerto Rico is still playing out; the only winners are the consultants and lawyers hired by all sides.

New York’s economic health is still quite good. For the period from Q4 2015 to Q4 2016 (latest data available) personal income is up 2.98%, employment is up 1.34%, home prices are up 4.46% and state tax revenues are up 121%. All in all the empire state seems on firm footing, excelsior!

Tax reform is the second highest priority of President Trump’s and the Republican-led House agenda—second only to health care reform. The most important items in the tax proposals for the owners of municipal bonds (individuals as well as corporations) are those relevant to investment income. By lowering the effective tax rate on competing sources of income, prices of municipal bonds would most likely fall (yields would increase) to become more competitive with these alternative sources of income.

President Trump’s tax reform proposal (released Thursday, April 27, 2017) called for the elimination of the deduction for state and local taxes on an individual’s federal tax return. This would, if adopted, have significant impacts for residents of high-tax states. New York is one of those states with a top marginal income tax rate of 8.82%. The near-term effects on the economy would be minimal, but long term, residents would have less money in their pockets to spend, the cost of residing in the state would increase and might cause out-migration and lower growth.

Conclusion

We continue to run this portfolio as an actively managed laddered portfolio. Laddering a portfolio is a simple way to diversify its investment along its entire investment universe. While past performance does not guarantee future results, our study showed that this structure outperformed other structures around 60% of the time and added 0.15% to 0.25% of total return annually from 1997 through 2016.* Our view is that the current investment environment is not compensating investors enough to take on extra risk, so we have positioned our portfolios at the lower end of their risk spectrums.

Thank you for your continued trust in us.

Sincerely,

Christopher Ryon,CFA	Nicholos Venditti,CFA
Portfolio Manager	Portfolio Manager
Managing Director	Managing Director

* We examined three hypothetical portfolios of bonds from December 1997 to December 2016. One using a laddering strategy, one using a barbell strategy, and a third using a bullet strategy. For the laddering strategy, the BofA Merrill Lynch 1–12 Year Municipal Index was used as a proxy, since, similar to a ladder, it contains bonds relatively evenly spread across all maturities within the index. The barbell strategy is a duration management technique wherein bonds are clustered at the two extremes of a maturity range. For the barbell strategy, the BofA Merrill Lynch 1–3 Year Municipal Index and BofA Merrill Lynch 8–12 Year Municipal Index were combined. The two indices were weighted in such a way as to give them the same duration as the broader 1–12 Year Index, and each year the portfolio was re-weighted back to the original index weights. This was done to make the two portfolios duration-neutral so that the impact of the strategy chosen could be isolated. The bullet strategy invests at the duration midpoint of the portfolio, therefore the BofA Merrill Lynch 6–8 Year Index was used to represent the bullet strategy. For additional information, see www.thornburg.com/whyladder. Past performance does not guarantee future results.

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
A Shares (Incep: 9/5/97)
Without sales charge		-0.83	%		2.14	%		2.10	%		3.45	%		3.83	%
With sales charge		-2.79	%		1.47	%		1.69	%		3.24	%		3.72	%
I Shares (Incep: 2/1/10)		-0.51	%		2.47	%		2.43	%		—			3.49	%

30-DAY YIELDS, A SHARES

(with sales charge)

Annualized Distribution Yield	2.44	%
SEC Yield	1.00	%

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 2.00%. There is no sales charge for Class I shares. As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.03%; I shares, 0.72%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: A shares, 0.99%; I shares, 0.67%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus. Without the fee waivers and expense reimbursements, the Annualized Distribution yield would have been 2.35%, and the SEC yield would have been 0.91%.

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Glossary

The BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 3 years and less than 15 years.

The BofA Merrill Lynch indices used in the Ladder vs Barbell & Bullet study are model portfolios of municipal obligations throughout the United States, with maturities ranging either from one to three years, six to eight years, eight to twelve years, or one to twelve years. These indices are subsets of the BofA Merrill Lynch U.S. Municipal Securities Index, which is comprised of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least a one-year remaining term to final maturity, a fixed coupon schedule and an investment grade rating.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.

Bond Credit Ratings (Credit Quality) – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Insured Bonds – Individual bonds are sometimes insured by private companies. The insurance guarantees the payment of principal and interest on a bond issue if the issuer defaults. Mutual funds are not insured, even if the underlying bonds are insured.

Core Personal Consumption Expenditure Index (Core PCE) – Core Personal Consumption Expenditure Index is a measure of the Personal Consumption Expenditure Index that excludes the more volatile and seasonal food and energy prices.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.

General Obligation Bond (GO) – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.

Laddering – Laddering involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.

Revenue Bond – A bond on which the debt service is payable solely from the revenue generated from the operation of the project being financed or a category of facilities, or from other non-tax sources.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

6    Semi-Annual Report

Fund Summary
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal, New York State and New York City individual income taxes as is consistent, in the view of the Fund’s investment advisor, with preservation of capital.

The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios.

The Fund offers New York investors double (or for New York City residents triple) tax-free yields in a laddered municipal bond portfolio with a dollar-weighted average maturity of normally three to 10 years (may be subject to Alternative Minimum Tax). Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.

KEY PORTFOLIO ATTRIBUTES

Number of Bonds	62
Effective Duration	4.3 Yrs
Average Maturity	7.3 Yrs

LONG-TERM STABILITY OF PRINCIPAL

Net Asset Value History of A Shares

SECURITY CREDIT RATINGS

A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.

PORTFOLIO LADDER

Percent of portfolio maturing in each year. Cash includes cash equivalents and other.

There is no guarantee that the Fund will meet its investment objectives.

All data is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    7

Schedule of Investments
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
City of New York GO, 5.00% due 8/1/2025 (City Budget Financial Management)	AA/Aa2	$	400,000	$	405,368
City of New York GO, 5.00% due 8/1/2030 (City Budget Financial Management)	AA/Aa2		1,000,000		1,148,550
City of New York GO, 0.95% due 4/1/2042 put 4/3/2017 (City Budget Financial Management; LOC: Mizuho Bank, Ltd.) (daily demand notes)	AA+/Aa1		1,200,000		1,200,000
County of Nassau GO, 5.00% due 4/1/2026 (Insured: BAM)	AA/NR		1,000,000		1,144,500
Dutchess County Local Development Corp., 5.00% due 7/1/2021 (Health Quest Systems, Inc.; Insured: AGM)	AA/A2		535,000		590,758
Dutchess County Local Development Corp., 5.00% due 7/1/2022 (Health Quest Systems, Inc.; Insured: AGM)	AA/A2		510,000		560,526
Erie County Industrial Development Agency, 5.25% due 5/1/2025 pre-refunded 5/1/2019 (Buffalo City School District)	AA/Aa2		1,000,000		1,085,310
Government of Guam, 5.375% due 12/1/2024 pre-refunded 12/1/2019 (Layon Solid Waste Disposal Facility)	BBB+/NR		1,000,000		1,106,490
Government of Guam, 5.00% due 11/15/2033 (Various Capital Projects)	A/NR		2,000,000		2,101,340
Guam Waterworks Authority, 5.00% due 7/1/2028 (Water and Wastewater System)	A-/Baa2		500,000		548,070
Hempstead Town Local Development Corp., 5.00% due 7/1/2028 (Hofstra University)	A/A2		500,000		554,450
Long Island Power Authority, 5.25% due 9/1/2029 (Electric System Capital Improvements)	AA/A3		645,000		773,232
Metropolitan Transportation Authority, 6.25% due 11/15/2023 pre-refunded 11/15/2018	NR/NR		800,000		867,576
Metropolitan Transportation Authority, 6.25% due 11/15/2023 pre-refunded 11/15/2018	NR/NR		10,000		10,845
Metropolitan Transportation Authority, 6.25% due 11/15/2023	AA-/A1		190,000		206,042
Monroe County Industrial Development Corp., 5.00% due 1/15/2028 (Monroe Community College Association, Inc.; Insured: AGM)	AA/A2		250,000		283,570
Monroe County Industrial Development Corp., 5.00% due 1/15/2029 (Monroe Community College Association, Inc.; Insured: AGM)	AA/A2		300,000		338,505
Nassau County IDA, 4.75% due 3/1/2026 pre-refunded 3/1/2020 (New York Institute of Technology)	BBB+/Baa2		1,000,000		1,099,130
Nassau County Sewer & Storm Water Finance Authority, 5.00% due 10/1/2021 (Sewerage and Storm Water Resource Facilities)	AAA/Aa3		275,000		317,831
Nassau County Sewer & Storm Water Finance Authority, 5.00% due 10/1/2028 (Sewerage and Storm Water Resource Facilities)	AAA/Aa3		400,000		472,048
Nassau County Sewer & Storm Water Finance Authority, 5.00% due 10/1/2031 (Sewerage and Storm Water Resource Facilities)	AAA/Aa3		1,000,000		1,162,580
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2020 (Healthcare Facilities Improvements)	A+/Aa3		770,000		850,804
New York City Health and Hospitals Corp. GO, 5.00% due 2/15/2025 (Healthcare Facilities Improvements)	A+/Aa3		1,000,000		1,085,250
New York City Transitional Finance Authority, 5.00% due 1/15/2020 (Educational Facilities) (State Aid Withholding)	AA/Aa2		1,000,000		1,067,870
New York City Trust for Cultural Resources, 5.25% due 12/1/2018 (Lincoln Center for the Performing Arts) (ETM)	A+/A2		175,000		187,275
New York Municipal Bond Bank Agency, 5.00% due 4/15/2018 (Insured: AGM)	AA/A2		1,000,000		1,040,350
New York State Dormitory Authority, 5.00% due 10/1/2018 (School District Financing Program; Insured: AGM)	AA/Aa3		475,000		487,816
New York State Dormitory Authority, 5.25% due 10/1/2018 (School District Financing Program; Insured: AGM)	AA/Aa3		775,000		824,212
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc. Developmental Disability Programs)	NR/Aa2		1,175,000		1,304,555
New York State Dormitory Authority, 5.25% due 7/1/2022 (St. John’s University; Insured: Natl-Re)	AA-/A3		1,000,000		1,174,010
New York State Dormitory Authority, 5.00% due 1/15/2023 (Municipal Health Facilities)	AA-/Aa3		1,000,000		1,031,700
New York State Dormitory Authority, 5.00% due 10/1/2023 (School District Financing Program) (State Aid Withholding)	AA-/NR		575,000		679,845
New York State Dormitory Authority, 5.00% due 10/1/2023 pre-refunded 10/1/2017 (School District Financing Program; Insured: AGM) (State Aid Withholding)	AA/A2		400,000		408,548
New York State Dormitory Authority, 5.00% due 7/1/2024 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA)	NR/Aa1		1,000,000		1,002,270
New York State Dormitory Authority, 5.00% due 7/1/2024 (Miriam Osborn Memorial Home Assoc.)	NR/NR		1,540,000		1,625,408
New York State Dormitory Authority, 5.00% due 10/1/2024 (School District Financing Program; Insured: AGM) (State Aid Withholding)	AA/Aa3		1,000,000		1,146,930
New York State Dormitory Authority, 5.00% due 7/1/2025 (Miriam Osborn Memorial Home Assoc.)	NR/NR		1,105,000		1,160,327
New York State Dormitory Authority, 5.00% due 7/1/2027 (Columbia University Teachers College)	A+/A1		750,000		843,270
New York State Dormitory Authority, 5.25% due 7/1/2027 (Health Quest Systems; Insured: AGM)	AA/A3		500,000		505,210
New York State Dormitory Authority, 5.00% due 12/15/2027 (Metropolitan Transportation Authority & State Urban
Development Corp.)	AAA/Aa1		2,500,000		2,888,725
New York State Dormitory Authority, 5.00% due 10/1/2028 (School District Financing Program; Insured: AGM)	AA/NR		200,000		233,926
New York State Dormitory Authority, 5.25% due 5/1/2030 pre-refunded 5/1/2019 (North Shore Long Island Jewish Medical)	A-/A3		1,000,000		1,085,310
New York State Thruway Authority, 5.00% due 5/1/2019 (New NY Bridge)	A-/A3		2,000,000		2,156,320
New York State Thruway Authority, 5.00% due 4/1/2022 pre-refunded 10/01/17 (Multi-Year Highway and Bridge Capital Program)	AA/NR		1,000,000		1,021,170
New York State Urban Development Corp., 5.25% due 1/1/2021	AA/NR		1,000,000		1,076,070
Onondaga Civic Development Corp., 5.00% due 7/1/2021 (Le Moyne College)	NR/Baa2		1,000,000		1,083,720
Onondaga Civic Development Corp., 5.50% due 12/1/2031 (State University of New York Upstate Medical University)	A+/NR		1,000,000		1,144,490
Port Authority New York & New Jersey, 5.00% due 8/15/2022 (Insured: AGM)	AA/Aa3		1,000,000		1,015,820
Sales Tax Asset Receivable Corp., 5.00% due 10/15/2029 (New York Local Government Assistance Corp.)	AAA/Aa1		250,000		294,858
Sales Tax Asset Receivable Corp., 5.00% due 10/15/2030 (New York Local Government Assistance Corp.)	AAA/Aa1		1,000,000		1,176,370
Sales Tax Asset Receivable Corp., 5.00% due 10/15/2031 (New York Local Government Assistance Corp.)	AAA/Aa1		1,000,000		1,171,550
Syracuse Industrial Development Agency, 5.25% due 5/1/2026 (Syracuse City School District)	AA/Aa2		2,150,000		2,440,443
Tobacco Settlement Asset Securitization Corp., 5.00% due 6/1/2022	A/NR		1,000,000		1,133,140
Town of Amherst Development Corp., 5.00% due 10/1/2020 (University at Buffalo Foundation Facility-Student Housing; Insured: AGM)	AA/A2		1,000,000		1,107,530

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Triborough Bridge & Tunnel Authority GO, 5.00% due 11/15/2025 pre-refunded 11/15/2017 (MTA Bridges and Tunnels)		AA-/Aa3	$	1,410,000	$	1,446,900
Triborough Bridge & Tunnel Authority GO, 5.00% due 11/15/2028 (MTA Bridges and Tunnels)		AA-/Aa3		1,000,000		1,161,980
Triborough Bridge & Tunnel Authority GO, 5.00% due 11/15/2029 (MTA Bridges and Tunnels)		AA-/Aa3		1,000,000		1,152,200
United Nations Development Corp., 5.00% due 7/1/2019 (One, Two and Three U.N. Plaza)		NR/A1		230,000		249,019
United Nations Development Corp., 5.00% due 7/1/2025 (One, Two and Three U.N. Plaza)		NR/A1		710,000		766,402
Utility Debt Securitization Authority, 5.00% due 12/15/2029 (Long Island Power Authority-Electric Service)		AAA/Aaa		1,000,000		1,168,420
Utility Debt Securitization Authority, 5.00% due 12/15/2030 (Long Island Power Authority-Electric Service)		AAA/Aaa		1,000,000		1,164,220
West Seneca Central School District GO, 5.00% due 11/15/2023 (Facilities Improvements; Insured: BAM) (State Aid Withholding)		AA/A2		1,300,000		1,533,467
TOTAL INVESTMENTS — 98.20% (Cost $56,949,523)					$	60,074,421
OTHER ASSETS LESS LIABILITIES — 1.80%						1,101,783
NET ASSETS — 100.00%					$	61,176,204

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

AGM	Insured by Assured Guaranty Municipal Corp.
BAM	Insured by Build America Mutual Insurance Co.
ETM	Escrowed to Maturity
GO	General Obligation
IDA	Industrial Development Authority
Natl-Re	Insured by National Public Finance Guarantee Corp.
SONYMA	State of New York Mortgage Authority

See notes to financial statements.

Semi-Annual Report    9

Statement of Assets and Liabilities
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (cost $56,949,523) (Note 3)	$	60,074,421
Cash		208,328
Receivable for investments sold		205,000
Receivable for fund shares sold		205,822
Interest receivable		881,195
Prepaid expenses and other assets		215
Total Assets		61,574,981
LIABILITIES
Payable for fund shares redeemed		301,972
Payable to investment advisor and other affiliates (Note 4)		33,526
Accounts payable and accrued expenses		43,335
Dividends payable		19,944
Total Liabilities		398,777
NET ASSETS	$	61,176,204
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(16,847	)
Net unrealized appreciation on investments		3,124,898
Accumulated net realized gain (loss)		(660,190	)
Net capital paid in on shares of beneficial interest		58,728,343
	$	61,176,204
NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($38,055,744 applicable to 2,940,422 shares of beneficial interest outstanding - Note 5)	$	12.94
Maximum sales charge, 2.00% of offering price		0.26
Maximum offering price per share	$	13.20
Class I Shares:
Net asset value, offering and redemption price per share ($23,120,460 applicable to 1,786,461 shares of beneficial interest outstanding - Note 5)	$	12.94

See notes to financial statements.

10    Semi-Annual Report

Statement of Operations
Thornburg New York Intermediate Municipal Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Interest income (net of premium amortized of $303,551)	$	1,163,190
EXPENSES
Investment advisory fees (Note 4)		168,037
Administration fees (Note 4)
Class A Shares		25,921
Class I Shares		6,435
Distribution and service fees (Note 4)
Class A Shares		51,842
Transfer agent fees
Class A Shares		14,511
Class I Shares		13,066
Registration and filing fees
Class A Shares		83
Class I Shares		83
Custodian fees (Note 2)		14,745
Professional fees		21,099
Accounting fees (Note 4)		1,213
Trustee fees		1,546
Other expenses		9,402
Total Expenses		327,983
Less:
Expenses reimbursed by investment advisor (Note 4)		(36,585	)
Net Expenses		291,398
Net Investment Income		871,792
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments		(167,322	)
Net change in unrealized appreciation (depreciation) on investments		(2,506,644	)
Net Realized and Unrealized Loss		(2,673,966	)
Net Decrease in Net Assets Resulting from Operations	$	(1,802,174	)

See notes to financial statements.

Semi-Annual Report    11

Statements of Changes in Net Assets

Thornburg New York Intermediate Municipal Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	871,792		$	1,815,241
Net realized gain (loss) on investments		(167,322	)		(13,529	)
Net unrealized appreciation (depreciation) on investments		(2,506,644	)		1,336,245
Net Increase (Decrease) in Net Assets Resulting from Operations		(1,802,174	)		3,137,957
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(514,030	)		(1,033,774	)
Class I Shares		(357,762	)		(781,467	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(5,402,332	)		(5,647,817	)
Class I Shares		(7,254,761	)		745,159
Net Decrease in Net Assets		(15,331,059	)		(3,579,942	)
NET ASSETS
Beginning of Period		76,507,263			80,087,205
End of Period	$	61,176,204		$	76,507,263
Distribution in excess of net investment income	$	(16,847	)	$	(16,847	)

* Unaudited.

See notes to financial statements.

12    Semi-Annual Report

Notes to Financial Statements
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg New York Intermediate Municipal Fund (the “Fund”) is a non-diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal, New York State, and New York City individual income tax as is consistent, in the view of Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios. The Fund will invest primarily in municipal obligations within the state of New York.

The Fund currently offers two classes of shares of beneficial interest: Class A and Institutional Class (“Class I”) shares. Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee and (ii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment

Semi-Annual Report    13

Notes to Financial Statements, Continued
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	56,949,523
Gross unrealized appreciation on a tax basis	$	3,200,025
Gross unrealized depreciation on a tax basis		(75,127	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	3,124,898

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $13,529. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $479,338, (of which $127,505 are short-term and $351,833 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carry-forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The

14    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities
Municipal Bonds	$	60,074,421	$	—	$	60,074,421	$	—
Total Investments in Securities	$	60,074,421	$	—	$	60,074,421	$	—

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017.

Semi-Annual Report    15

Notes to Financial Statements, Continued
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.500	%
Next $500 million		0.450
Next $500 million		0.400
Next $500 million		0.350
Over $2 billion		0.275

The Fund’s effective management fee for the six months ended March 31, 2017 was 0.50% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $1,213 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $15 from the sale of Class A shares.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I shares. The Advisor and the Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $20,401 for Class A shares and $16,184 for Class I shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had transactions with affiliated funds of $1,026,217 in sales.

16    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		159,293		$	2,061,617			249,737		$	3,332,694
Shares issued to shareholders in reinvestment of dividends		30,622			397,347			60,467			808,135
Shares repurchased		(607,787	)		(7,861,296	)		(733,326	)		(9,788,646	)
Net increase (decrease)		(417,872	)	$	(5,402,332	)		(423,122	)	$	(5,647,817	)
Class I Shares
Shares sold		283,544		$	3,673,274			602,854		$	8,053,470
Shares issued to shareholders in reinvestment of dividends		27,270			353,999			58,096			776,695
Shares repurchased		(874,543	)		(11,282,034	)		(605,034	)		(8,085,006	)
Net increase (decrease)		(563,729	)	$	(7,254,761	)		55,916		$	745,159

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $1,317,732 and $11,275,426, respectively.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit risk, market and economic risk, liquidity risk, diversification risk, and the risk of investing mainly in the obligations primarily originating in a single state. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    17

Financial Highlights

    Thornburg New York Intermediate Municipal Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)															RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+	NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS	DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS	TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)	PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	13.40	0.16		(0.46	)	(0.30)		(0.16	)	—		(0.16	)	$12.94		2.48	(d)		0.99	(d)		0.99	(d)		1.09	(d)	(2.23)		2.05	$	38,056
2016(c)	$	13.18	0.29		0.22		0.51		(0.29	)	—		(0.29	)	$13.40		2.18			0.96			0.96			1.03		3.91		7.02	$	45,009
2015(c)	$	13.22	0.29		(0.04	)	0.25		(0.29	)	—		(0.29	)	$13.18		2.16			0.98			0.98			1.05		1.87		7.72	$	49,845
2014(c)	$	12.93	0.30		0.29		0.59		(0.30	)	—		(0.30	)	$13.22		2.27			0.99			0.99			1.05		4.59		14.12	$	54,301
2013(c)	$	13.44	0.34		(0.51	)	(0.17)		(0.34	)	—		(0.34	)	$12.93		2.54			0.99			0.99			1.05		(1.32)		11.31	$	54,061
2012(c)	$	12.93	0.37		0.51		0.88		(0.37	)	—		(0.37	)	$13.44		2.80			0.99			0.99			1.05		6.90		13.37	$	55,862
CLASS I SHARES
2017(b)	$	13.40	0.18		(0.46	)	(0.28)		(0.18	)	—		(0.18	)	$12.94		2.78	(d)		0.67	(d)		0.67	(d)		0.79	(d)	(2.07)		2.05	$	23,120
2016	$	13.18	0.33		0.22		0.55		(0.33	)	—		(0.33	)	$13.40		2.51			0.63			0.63			0.72		4.25		7.02	$	31,498
2015	$	13.22	0.33		(0.04	)	0.29		(0.33	)	—		(0.33	)	$13.18		2.47			0.67			0.67			0.76		2.19		7.72	$	30,242
2014	$	12.93	0.33		0.30		0.63		(0.34	)	—		(0.34	)	$13.22		2.57			0.67			0.67			0.73		4.93		14.12	$	23,922
2013	$	13.44	0.38		(0.51	)	(0.13)		(0.38	)	—		(0.38	)	$12.93		2.86			0.67			0.67			0.74		(1.00)		11.31	$	7,060
2012	$	12.92	0.41		0.52		0.93		(0.41	)	—		(0.41	)	$13.44		3.12			0.67			0.67			0.77		7.33		13.37	$	4,707

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

18    Semi-Annual Report Semi-Annual Report    19

Expense Example
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 31, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
Class A Shares
Actual	$	1,000.00	$	977.74	$	4.88
Hypothetical*	$	1,000.00	$	1,020.00	$	4.99
Class I Shares
Actual	$	1,000.00	$	979.30	$	3.30
Hypothetical*	$	1,000.00	$	1,021.60	$	3.37

† Expenses are equal to the annualized expense ratio for each class (A: 0.99%; I: 0.67%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

20    Semi-Annual Report

Other Information
Thornburg New York Intermediate Municipal Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg. com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    21

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task—our principal obligation to you—is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

22    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    23

To receive shareholder reports, prospectuses, and proxy statements electronically, go to www.thornburg.com/edelivery.   This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management® 800.847.0200	Thornburg Securities Corporation® 800.847.0200	TH1069

About Thornburg Investment Management

It’s more than what we do. It’s how we do it.

At Thornburg, we are very different in how we think, invest, and are structured We believe this difference is what makes us successful in helping individuals reach their long-term financial goals.

Flexible Perspective

Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value.

Collaboration

Collectively, we hone ideas via borderless cross-pollination for better judgment and better results.

Portfolio Construction

Disciplined construction guided more by our convictions than convention.

CONVICTION

Thorough analysis and our relative-value framework lead to conviction in our securities selection.

UNCONVENTIONAL

Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point.

Structured for Excellence

How we think and how we invest is made possible by how we’re structured.

TEAM APPROACH

FAR FROM THE HERD

ACCESS & TRANSPARENCY

2 | Semi-Annual Reports

2    Semi-Annual Reports

Semi-Annual Reports

Thornburg Limited Term U.S. Government Fund

Thornburg Limited Term Income Fund

Thornburg Low Duration Income Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary and Schedule of Investments
Thornburg Limited Term U.S. Government Fund	8
Thornburg Limited Term Income Fund	12
Thornburg Low Duration Income Fund	26
Statements of Assets and Liabilities	33
Statements of Operations	35
Statements of Changes in Net Assets
Thornburg Limited Term U.S. Government Fund	37
Thornburg Limited Term Income Fund	38
Thornburg Low Duration Income Fund	39
Notes to Financial Statements	40
Financial Highlights
Thornburg Limited Term U.S. Government Fund	52
Thornburg Limited Term Income Fund	54
Thornburg Low Duration Income Fund	56
Expense Examples	58
Other Information	59
Trustees’ Statement to Shareholders	60

LIMITED TERM U.S. GOVERNMENT FUND	NASDAQ SYMBOLS	CUSIPS
Class A	LTUSX	885-215-103
Class C	LTUCX	885-215-830
Class I	LTUIX	885-215-699
Class R3	LTURX	885-215-491
Class R4	LTUGX	885-216-747
Class R5	LTGRX	885-216-861
LIMITED TERM INCOME FUND
Class A	THIFX	885-215-509
Class C	THICX	885-215-764
Class I	THIIX	885-215-681
Class R3	THIRX	885-215-483
Class R4	THRIX	885-216-762
Class R5	THRRX	885-216-853
LOW DURATION INCOME FUND
Class A	TLDAX	885-216-812
Class I	TLDIX	885-216-796

Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Investments in mortgage-backed securities (MBS) may bear additional risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

Semi-Annual Reports    3

Letter to Shareholders

March 31, 2017 (Unaudited)

April 18, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, and Thornburg Low Duration Income Fund for the six months ended March 31, 2017. The net asset value (NAV) of a Class A share of Thornburg Limited Term U.S. Government Fund decreased by twenty-three cents in the period to $13.02, and if you were invested for the entire period, you received dividends of 9.17 cents per share. If you reinvested your dividends, you received 9.19 cents per share. The NAV of a Class A share of Thornburg Limited Term Income Fund decreased thirteen cents in the period to $13.38. If you were invested for the entire period, you received dividends of 11.89 cents per share. If you reinvested your dividends, you received 11.93 cents per share. The NAV of a Class A share of Thornburg Low Duration Income Fund decreased four cents to $12.42 per share. If you were invested for the entire period, you received dividends of 7.87 cents per share. If you reinvested your dividends, you received 7.89 cents per share. Dividends per share varied for other share classes to account for varying class-specific expenses.

Combining income and change in price, Class A shares of Thornburg Limited Term U.S. Government Fund produced a total return of negative 1.04% (without sales charge) over the six-month period. The Bloomberg Barclays Intermediate Government Bond Index produced a total return of negative 1.65% over the same period. Class A shares of Thornburg Limited Term Income Fund produced a total return of negative 0.08% (without sales charge) over the six months ended March 31, 2017. The Bloomberg Barclays Intermediate U.S. Government/Credit Bond Index produced a negative 1.30% total return over the same time period. Class A shares of Thornburg Low Duration Income Fund produced a total return of 0.31% (without sales charge) over the six months ended March 31, 2017. The Bloomberg Barclays U.S. Aggregate Bond 1-3 Year Index produced a 0.03% total return over the same time period.

Over the last six months, markets have continued to remind investors that low-probability events sometimes occur, and that the general consensus can be quite wrong. However, even if investors had foreseen a Trump victory, could anyone have effectively repositioned their portfolios to address the equally surprising reaction to it across domestic and global markets? Market gloom lasted only hours before President-elect Trump gave a conciliatory speech on election night, igniting market enthusiasm. Stocks rallied and bonds sold off as investors became confident Trump’s pro-growth policies would be implemented by the Republican-dominated legislative branch.

Despite yields having bottomed in July 2016, many investors’ portfolios were caught off guard as yields rose faster than most expected. The Funds, while not immune to the rise in rates during this time, ultimately outperformed their respective benchmarks. Why? We do not make large bets on singular events. We take a balanced risk approach; regardless of election outcome, we didn’t believe Treasury curve pricing compensated appropriately for risk (low real return, low/negative term premium in the U.S. 10-year Treasury, etc.).

After yields backed up post-election, we added a bit of duration to the portfolios via U.S. Treasuries and Treasury Inflation Protected Securities as the risk-reward tradeoff became more favorable. As can be expected, we remain consistent in our philosophy of taking on incremental risk only when we believe that risk offers proper compensation. Given the move in U.S. Treasuries, one might have expected that corporate spreads widened as well, leading to a broader opportunity set in which to deploy capital. This has not happened broadly and credit spreads continue to remain quite tight. Currently, we believe that current spread compensation per unit of risk has yet to become attractive en masse.

The market however, continues to appear yield hungry although skittish around rates, as the Federal Reserve (the Fed) hiked short-term rates in March 2017, bringing the current count to three hikes during this cycle with more expected during the second half of 2017. Most investors will agree that quantitative easing (QE) from central banks around the world has both depressed risk-free yields and compressed risk-asset spreads. What then, will be the ultimate result of the inevitable unwinding? The truth is no one knows, and while we believe it can be completed in an orderly fashion—that is to say, we are unlikely to repeat taper tantrums—we ultimately sit at low overall yields today. Said another way, if QE was a tailwind over the last few years, then negative QE should be a headwind going forward.

Risk markets have benefited from what some call the “Trump trade” (i.e., potential better business conditions due to lower and simpler taxes, reduced regulation, and more productive government spending). While we viewed markets’ reactions as a bit optimistic, there are reasons to be hopeful, especially with Republicans controlling the White House, Senate, and the House of Representatives. It’s too early, of course, to say that the market’s hope in policy-driven growth was misplaced, but the political environment remains notoriously difficult to navigate as evidenced by the failed repeal of the Affordable Care Act. And while sentiment and hard data had been strong to start the year, hard economic data appears to be weakening as of late. It is too early to tell if this weakness is just another bout of first quarter malaise, which seems to be an annual occurrence for the U.S. economy as of late, or a sign of deeper trouble to come. How the Fed responds and whether we

4    Semi-Annual Reports

Letter to Shareholders,
Continued	March 31, 2017 (Unaudited)

get positive and clear movement on the political front may ultimately determine the economy’s course in the short run. For now, uncertainty remains the order of the day, though markets certainly aren’t priced that way.

Remember, however, in deciding where to deploy capital, we attempt to discern how likely it is something will happen, what will happen, over what time period, and what the market is currently pricing in. While we clearly follow day-to-day developments when positioning the portfolios to meet their goals over time, we step back and consider the longer term and ultimately try to position the portfolio to perform well across market cycles.

In general, we remain disciplined and defensive regarding interest-rate and credit risk. Depending upon the mandate, we added modest exposure to relatively short-term investment grade floating-rate bonds. Where appropriate, given each portfolio’s guidelines, these additions came by way of various structures, including asset-backed securities and corporates—the common link being that, regardless of structure, they were backed by high-quality assets. But while neither interest rate nor credit risk is well compensated in the market today, we still are finding select opportunities to add interesting securities to the portfolios. For example, across the portfolios we added modest mortgage-backed securities exposure. In all instances these were high-quality short-term bonds. Additionally, they were structured to limit the potential range of pre-payment or extension risk outcomes, giving us confidence in their likely weighted average life. We also continue to take advantage of market pullbacks to add attractively priced risk assets to the market, though as suggested, these pullbacks have been fewer in number in recent months. Lastly, in keeping with the theme of defensive positioning, we ended the period with cash balances towards the higher end of their historical ranges, which we stand ready to deploy should opportunities present themselves.

We are pleased that Thornburg Limited Term U.S. Government Fund, I shares, was recognized by Lipper as the Best Short-Intermediate U.S. Government Fund for the three-year period as of 11/30/2016, among 25 funds. Lipper Fund Awards are granted annually to funds with the strongest risk-adjusted performance in their category (see page eight for additional information).

Thank you for your continued trust in us. We look forward to working hard to add value to your holdings.

Sincerely,

Jason Brady, CFA	Lon R. Erickson, CFA	Jeff Klingelhofer, CFA
Portfolio Manager	Portfolio Manager	Portfolio Manager
President, CEO, and Managing Director	Managing Director	Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Reports    5

Performance Summary

March 31, 2017 (Unaudited)

AVERAGE ANNUAL RETURNS

LIMITED TERM U.S. GOVERNMENT FUND	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
A Shares (Incep: 11/16/87)
Without sales charge		-0.46	%		0.96	%		0.70	%		2.70	%		4.87	%
With sales charge		-1.94	%		0.46	%		0.39	%		2.54	%		4.82	%
C Shares (Incep: 9/1/94)
Without sales charge		-0.73	%		0.68	%		0.41	%		2.42	%		3.77	%
With sales charge		-1.22	%		0.68	%		0.41	%		2.42	%		3.77	%
I Shares (Incep: 7/5/96)		-0.13	%		1.28	%		1.02	%		3.03	%		4.25	%
R3 Shares (Incep: 7/1/03)		-0.52	%		0.89	%		0.62	%		2.64	%		2.43	%
R4 Shares (Incep: 2/1/14)		-0.53	%		0.92	%		—			—			0.82	%
R5 Shares (Incep: 5/1/12)		-0.14	%		1.26	%		—			—			0.90	%
LIMITED TERM INCOME FUND
A Shares (Incep: 10/1/92)
Without sales charge		2.08	%		2.04	%		2.52	%		4.30	%		5.02	%
With sales charge		0.57	%		1.54	%		2.22	%		4.14	%		4.96	%
C Shares (Incep: 9/1/94)
Without sales charge		1.87	%		1.82	%		2.29	%		4.06	%		4.71	%
With sales charge		1.37	%		1.82	%		2.29	%		4.06	%		4.71	%
I Shares (Incep: 7/5/96)		2.45	%		2.41	%		2.89	%		4.66	%		5.23	%
R3 Shares (Incep: 7/1/03)		1.96	%		1.93	%		2.42	%		4.24	%		3.75	%
R4 Shares (Incep: 2/1/14)		1.95	%		1.93	%		—			—			1.93	%
R5 Shares (Incep: 5/1/12)		2.29	%		2.28	%		—			—			2.66	%
LOW DURATION INCOME FUND
A Shares (Incep: 12/30/13)
Without sales charge		1.33	%		1.07	%		—			—			1.20	%
With sales charge		-0.20	%		0.56	%		—			—			0.73	%
I Shares (Incep: 12/30/13)		1.41	%		1.23	%		—			—			1.37	%

30-DAY YIELDS

(with sales charge)

Thornburg Limited Term U.S. Government Fund, A Shares
Annualized Distribution Yield	1.75	%
SEC Yield	1.58	%
Thornburg Limited Term Income Fund, A Shares
Annualized Distribution Yield	1.75	%
SEC Yield	1.65	%
Thornburg Low Duration Income Fund, A Shares
Annualized Distribution Yield	1.43	%
SEC Yield	1.37	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

*    CPI data is as of 3/31/17.

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 1.50%. Class C shares include a 0.50% CDSC for the first year only. There is no sales charge for Class I, Class R3, Class R4, and Class R5 shares. As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: Limited Term U.S. Government Fund A shares, 0.91%; C shares, 1.20%; I shares, 0.57%; R3 shares, 1.30%; R4 shares, 2.71%; R5 shares, 2.05%; Limited Term Income Fund A shares, 0.86%; C shares, 1.08%; I shares, 0.50%; R3 shares, 1.10%; R4 shares, 1.97%; R5 shares, 0.72%; and Low Duration Income Fund A shares, 1.74%; I shares, 1.18%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: For Limited Term U.S. Government Fund R3 shares, 0.99%; R4 shares, 0.99%; R5 shares, 0.67%. Limited Term Income Fund R3 shares, 0.99%; R4 shares, 0.99%; R5 shares, 0.67%. Low Duration Income Fund A shares, 0.70%; I shares, 0.50%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus. Without the fee waivers and expense reimbursements, the Annualized Distribution yield for Low Duration Income Fund A shares would have been 0.27%, and the SEC yield would have been 0.22%.

6    Semi-Annual Reports

Glossary

March 31, 2017 (Unaudited)

The Bloomberg Barclays Intermediate Government Bond Index is an unmanaged, market-weighted index generally representative of all public obligations of the U.S. Government, its agencies and instrumentalities having maturities from one up to ten years.

The Bloomberg Barclays Intermediate Government/Credit Bond Index is an unmanaged, market-weighted index generally representative of intermediate government and investment-grade corporate debt securities having maturities from one up to ten years.

The Bloomberg Barclays U.S. 1-3 Yr Aggregate Bond Index measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market with maturities between 1 and 3 years, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Asset-backed Security (ABS) – A security whose value and income payments are derived from and collateralized (or “backed”) by a specified pool of underlying assets. The pool of assets is typically a group of small and illiquid assets that are unable to be sold individually. Pooling the assets into financial instruments allows them to be sold to general investors, a process called securitization, and allows the risk of investing in the underlying assets to be diversified because each security will represent a fraction of the total value of the diverse pool of underlying assets.

Basis Point (bp) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).

Bond Credit Ratings (Credit Quality) – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Floating-Rate Securities (Floater) – Debt instrument whose coupon rate adjusts with short-term interest rate changes.

Laddering – Laddering involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.

Mortgage-backed Security – A type of asset-backed security that is secured by a mortgage or collection of mortgages. These securities must be grouped in one of the top two ratings as determined by a accredited credit rating agency and usually pay periodic payments that are similar to coupon payments. The mortgage must have originated from a regulated and authorized financial institution.

Quantitative Easing (QE) – An unconventional monetary policy in which a central bank purchases financial assets from the market in order to lower interest rates and increase the money supply.

Riskless (or risk-free) Interest Rate – The theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest that an investor would expect from an absolutely risk-free investment over a given period of time. Though a truly risk-free asset exists only in theory, in practice most professionals and academics use short-dated government bonds, such as a three-month U.S. Treasury bill.

Term Premium – The excess yield that investors require to commit to holding a long-term bond instead of a series of shorter-term bonds.

TIPS (Treasury Inflation Protected Securities) – A U.S. Treasury note or bond that offers protection from the effects of inflation. Using the Consumer Price Index as a guide, the value of the principal is adjusted to reflect the effects of inflation. A fixed interest rate is paid semi-annually on the adjusted amount. At maturity, if inflation has increased the value of the principal, the investor receives the higher value. If deflation has decreased the value, the investor receives the original face amount of the security.

Treasuries – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal, taxes.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

Semi-Annual Reports    7

Fund Summary
Thornburg Limited Term U.S. Government Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund’s primary objective is to provide as high a level of current income as is consistent, in the view of the Fund’s investment advisor, with the safety of capital. As a secondary goal, the Fund seeks to reduce changes in its share price compared to longer term portfolios.

This Fund is a laddered portfolio primarily composed of short/ intermediate debt obligations at least 80% of which are issued by the U.S. Government, its agencies, or its instrumentalities, with a dollar-weighted average maturity of normally less than five years.

LONG-TERM STABILITY OF PRINCIPAL

Net Asset Value History of A Shares

KEY PORTFOLIO ATTRIBUTES

Number of Bonds	157
Effective Duration	2.7 Yrs
Average Maturity	3.7 Yrs

Lipper Best Short-Intermediate U.S. Government Fund (Class I Shares) 3-year period ended 11/30/16, among 25 funds.

Lipper Fund Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance (calculated with dividends reinvested and without sales charge). Fund Classification Awards are given for three-year, five-year, and ten-year periods. Thornburg did not win the award for any other time period. Past performance does not guarantee future results. From Thomson Reuters Lipper Awards, ^© 2017 Thomson Reuters. All rights reserved. Used by permission and protected by the Copyright Laws of the United States. The printing, copying, redistribution or retransmission of this Content without express permission is prohibited.

TYPES OF HOLDINGS

PORTFOLIO LADDER

Percent of portfolio maturing in each year. Cash includes cash equivalents.

There is no guarantee that the Fund will meet its investment objectives.

All data is subject to change. Charts may not add up to 100% due to rounding.

8    Semi-Annual Reports

Schedule of Investments
Thornburg Limited Term U.S. Government Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY SECURITIES — 22.93%
United States Treasury Notes, 2.25%, 11/30/2017	$	7,500,000	$	7,561,202
United States Treasury Notes, 2.625%, 1/31/2018		6,700,000		6,786,838
United States Treasury Notes, 0.75%, 4/30/2018		4,750,000		4,731,631
United States Treasury Notes, 1.125%, 6/15/2018		4,000,000		3,999,672
United States Treasury Notes, 3.625%, 2/15/2020		1,000,000		1,060,430
United States Treasury Notes, 1.375%, 2/29/2020		2,500,000		2,490,586
United States Treasury Notes, 1.625%, 6/30/2020		4,000,000		4,003,406
United States Treasury Notes, 0.125%, 4/15/2021		2,970,818		3,002,579
United States Treasury Notes, 2.25%, 4/30/2021		6,000,000		6,105,328
United States Treasury Notes, 2.25%, 11/15/2024		1,500,000		1,496,250
United States Treasury Notes, 1.50%, 8/15/2026		1,500,000		1,388,121
United States Treasury Notes Inflationary Index, 0.125%, 4/15/2020		3,099,972		3,146,318
United States Treasury Notes Inflationary Index, 0.625%, 7/15/2021		2,693,125		2,793,597
United States Treasury Notes Inflationary Index, 0.125%, 7/15/2022		5,278,950		5,321,129
United States Treasury Notes Inflationary Index, 0.125%, 1/15/2023		2,629,650		2,628,799
United States Treasury Notes Inflationary Index, 0.375%, 7/15/2025		5,887,023		5,901,334
United States Treasury Notes Inflationary Index, 0.625%, 1/15/2026		3,218,702		3,276,955
United States Treasury Notes Inflationary Index, 0.125%, 7/15/2026		1,519,350		1,482,469
TOTAL U.S. TREASURY SECURITIES (Cost $66,946,031)				67,176,644
U.S. GOVERNMENT AGENCIES — 19.71%
Federal Home Loan Bank, 5.00%, 12/8/2017		3,000,000		3,079,471
Federal Home Loan Mtg Corp., 4.875%, 6/13/2018		3,000,000		3,134,046
Federal National Mtg Assoc., 1.875%, 12/28/2020		2,000,000		2,010,443
HNA Group 2015 LLC, (Guaranty: Export-Import Bank of the United States), 2.291%, 6/30/2027		2,659,689		2,620,591
Mortgage-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06%, 1/15/2022		426,402		428,556
New Valley Generation I, Tennessee Valley Authority, 7.299%, 3/15/2019		845,228		887,840
a Petroleos Mexicanos Floating Rate Note, (Guaranty: Export-Import Bank of the United States), 1.373%, 4/15/2025		2,887,500		2,849,700
a Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 1.70%, 12/20/2022		3,135,000		3,087,533
a Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 2.46%, 12/15/2025		2,250,000		2,249,924
Private Export Funding Corp., (Guaranty: Export-Import Bank of the United States), 5.45%, 9/15/2017		3,000,000		3,058,962
a Reliance Industries Ltd., (Guaranty: Export-Import Bank of the United States), 2.512%, 1/15/2026		3,150,000		3,155,828
a Reliance Industries Ltd., (Guaranty: Export-Import Bank of the United States), 2.06%, 1/15/2026		3,150,000		3,095,187
a Reliance Industries Ltd., (Guaranty: Export-Import Bank of the United States), 1.87%, 1/15/2026		2,131,579		2,077,239
Small Business Administration Participation Certificates, Series 2001-20D Class 1, 6.35%, 4/1/2021		549,812		582,807
Small Business Administration Participation Certificates, Series 2001-20F Class 1, 6.44%, 6/1/2021		408,453		434,006
Small Business Administration Participation Certificates, Series 2002-20A Class 1, 6.14%, 1/1/2022		280,063		299,787
Small Business Administration Participation Certificates, Series 2002-20K Class 1, 5.08%, 11/1/2022		275,809		291,480
Small Business Administration Participation Certificates, Series 2005-20H Class 1, 5.11%, 8/1/2025		219,052		232,605
Small Business Administration Participation Certificates, Series 2007-20D Class 1, 5.32%, 4/1/2027		642,750		693,076
Small Business Administration Participation Certificates, Series 2007-20F Class 1, 5.71%, 6/1/2027		367,976		399,386
Small Business Administration Participation Certificates, Series 2007-20I Class 1, 5.56%, 9/1/2027		1,137,517		1,228,006
Small Business Administration Participation Certificates, Series 2007-20K Class 1, 5.51%, 11/1/2027		783,808		846,045
Small Business Administration Participation Certificates, Series 2008-20G Class 1, 5.87%, 7/1/2028		1,876,554		2,075,136
Small Business Administration Participation Certificates, Series 2011-20G Class 1, 3.74%, 7/1/2031		2,041,873		2,135,673
Small Business Administration Participation Certificates, Series 2011-20K Class 1, 2.87%, 11/1/2031		2,470,201		2,502,229
Small Business Administration Participation Certificates, Series 2015-20G Class 1, 2.88%, 7/1/2035		2,287,052		2,307,989
Small Business Administration Participation Certificates, Series 2015-20I Class 1, 2.82%, 9/1/2035		2,537,553		2,550,869
Ulani MSN 35940 LLC, (Guaranty: Export-Import Bank of the United States), 2.227%, 5/16/2025		3,437,500		3,410,117
Union 13 Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.87%, 6/28/2024		1,896,653		1,861,156
a Washington Aircraft 2 Co. Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of the United States), 1.583%, 6/26/2024		4,195,897		4,134,498
TOTAL U.S. GOVERNMENT AGENCIES (Cost $57,588,954)				57,720,185
MORTGAGE BACKED — 50.54%
Federal Home Loan Mtg Corp. Multi-Family Structured Pass Through, Series KLH3 Class A Floating Rate Note, 1.489%, 11/25/2022		3,141,615		3,143,231
Federal Home Loan Mtg Corp. Whole Loan Securities, Series 2016-SC01 Class 2A, 3.50%, 7/25/2046		2,319,253		2,241,952
Federal Home Loan Mtg Corp. Whole Loan Securities, Series 2016-SC02 Class 2A, 3.50%, 10/25/2046		1,884,555		1,911,151
Federal Home Loan Mtg Corp., CMO Series 1321 Class TE, 7.00%, 8/15/2022		122,174		130,389
Federal Home Loan Mtg Corp., CMO Series 2527 Class BP, 5.00%, 11/15/2017		35,647		35,938
Federal Home Loan Mtg Corp., CMO Series 2529 Class MB, 5.00%, 11/15/2017		34,839		35,160
Federal Home Loan Mtg Corp., CMO Series 2553 Class GB, 5.00%, 1/15/2018		32,099		32,401
Federal Home Loan Mtg Corp., CMO Series 2558 Class BD, 5.00%, 1/15/2018		156,735		158,284
Federal Home Loan Mtg Corp., CMO Series 2622 Class PE, 4.50%, 5/15/2018		100,560		101,747
Federal Home Loan Mtg Corp., CMO Series 2641 Class WE, 4.50%, 1/15/2033		29,572		29,962

Semi-Annual Reports    9

Schedule of Investments, Continued
Thornburg Limited Term U.S. Government Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	PRINCIPAL AMOUNT		VALUE
Federal Home Loan Mtg Corp., CMO Series 2649 Class QH, 4.50%, 7/15/2018	$	56,123	$	56,979
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00%, 6/15/2019		18,221		18,610
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50%, 7/15/2019		219,385		221,534
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50%, 3/15/2022		616,236		635,319
Federal Home Loan Mtg Corp., CMO Series 3640 Class EL, 4.00%, 3/15/2020		410,022		419,068
Federal Home Loan Mtg Corp., CMO Series 3704 Class DC, 4.00%, 11/15/2036		503,299		529,303
Federal Home Loan Mtg Corp., CMO Series 3867 Class VA, 4.50%, 3/15/2024		1,758,053		1,882,030
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00%, 4/15/2041		945,995		940,052
Federal Home Loan Mtg Corp., CMO Series 4050 Class MV, 3.50%, 8/15/2023		2,162,891		2,244,022
Federal Home Loan Mtg Corp., CMO Series 4097 Class TE, 1.75%, 5/15/2039		2,046,919		1,977,645
Federal Home Loan Mtg Corp., CMO Series 4105 Class FG, 1.312%, 9/15/2042		2,055,251		2,059,674
Federal Home Loan Mtg Corp., CMO Series 4120 Class TC, 1.50%, 10/15/2027		2,485,512		2,407,725
Federal Home Loan Mtg Corp., CMO Series 4120 Class UE, 2.00%, 10/15/2027		2,558,324		2,515,872
Federal Home Loan Mtg Corp., CMO Series K018 Class A1, 1.781%, 10/25/2020		1,184,070		1,183,844
Federal Home Loan Mtg Corp., CMO Series K035 Class A1, 2.615%, 3/25/2023		2,861,997		2,900,229
Federal Home Loan Mtg Corp., CMO Series K037 Class A1, 2.592%, 4/25/2023		1,600,802		1,620,711
Federal Home Loan Mtg Corp., CMO Series K038 Class A1, 2.604%, 10/25/2023		4,955,141		5,018,006
Federal Home Loan Mtg Corp., CMO Series K042 Class A1, 2.267%, 6/25/2024		2,173,499		2,169,235
Federal Home Loan Mtg Corp., CMO Series K709 Class A2, 2.086%, 3/25/2019		3,000,000		3,017,437
Federal Home Loan Mtg Corp., CMO Series K716 Class A1, 2.413%, 8/25/2047		1,445,442		1,462,982
Federal Home Loan Mtg Corp., CMO Series KF15 Class A, 1.449%, 2/25/2023		2,675,446		2,677,588
Federal Home Loan Mtg Corp., CMO Series KLH1 Class A, 1.489%, 11/25/2022		2,000,000		2,001,166
Federal Home Loan Mtg Corp., CMO Series KP02 Class A2, 2.355%, 4/25/2021		3,000,000		3,010,916
Federal Home Loan Mtg Corp., CMO Series KS03 Class A2, 2.79%, 6/25/2022		2,500,000		2,513,290
Federal Home Loan Mtg Corp., CMO Series SC02 Class 2A, 3.50%, 9/25/2045		1,902,107		1,904,686
Federal Home Loan Mtg Corp., Pool AK6768, 3.00%, 3/1/2027		1,917,551		1,977,025
Federal Home Loan Mtg Corp., Pool B14155, 3.50%, 5/1/2019		108,595		113,164
Federal Home Loan Mtg Corp., Pool D98887, 3.50%, 1/1/2032		1,082,591		1,130,673
Federal Home Loan Mtg Corp., Pool E96575, 4.50%, 6/1/2018		97,483		99,558
Federal Home Loan Mtg Corp., Pool G12079, 4.50%, 4/1/2019		158,441		162,128
Federal Home Loan Mtg Corp., Pool G12140, 4.00%, 2/1/2020		45,685		47,225
Federal Home Loan Mtg Corp., Pool G13804, 5.00%, 3/1/2025		457,187		488,297
Federal Home Loan Mtg Corp., Pool G18435, 2.50%, 5/1/2027		2,416,232		2,453,892
Federal Home Loan Mtg Corp., Pool J11371, 4.50%, 12/1/2024		456,555		484,700
Federal Home Loan Mtg Corp., Pool J13583, 3.50%, 11/1/2025		797,242		832,277
Federal Home Loan Mtg Corp., Pool J14888, 3.50%, 4/1/2026		857,979		895,951
Federal Home Loan Mtg Corp., Pool T61943, 3.50%, 8/1/2045		907,892		922,255
Federal Home Loan Mtg Corp., REMIC Series 4072 Class VA, 3.50%, 10/15/2023		1,895,535		1,967,318
Federal National Mtg Assoc., CMO Series 1993-32 Class H, 6.00%, 3/25/2023		14,963		15,957
Federal National Mtg Assoc., CMO Series 2003-15 Class CY, 5.00%, 3/25/2018		25,748		25,989
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00%, 2/25/2018		66,307		67,006
Federal National Mtg Assoc., CMO Series 2003-9 Class DB, 5.00%, 2/25/2018		30,786		31,083
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 0.876%, 3/25/2039		433,694		373,905
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00%, 7/25/2024		145,323		148,142
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50%, 8/25/2019		50,112		50,773
Federal National Mtg Assoc., CMO Series 2009-78 Class A, 4.50%, 8/25/2019		79,994		81,210
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00%, 12/25/2022		226,433		226,361
Federal National Mtg Assoc., CMO Series 2011-110 Class JV, 4.00%, 1/25/2023		500,948		502,008
Federal National Mtg Assoc., CMO Series 2011-124 Class QA, 2.00%, 12/25/2041		474,711		473,747
Federal National Mtg Assoc., CMO Series 2011-45 Class VA, 4.00%, 3/25/2024		2,406,713		2,491,791
Federal National Mtg Assoc., CMO Series 2011-63 Class MV, 3.50%, 7/25/2024		2,444,696		2,508,301
Federal National Mtg Assoc., CMO Series 2011-70 Class CA, 3.00%, 8/25/2026		4,401,251		4,373,029
Federal National Mtg Assoc., CMO Series 2011-72 Class KV, 3.50%, 11/25/2022		1,298,088		1,322,823
Federal National Mtg Assoc., CMO Series 2012-20 Class VT, 3.50%, 3/25/2025		3,301,882		3,438,208
Federal National Mtg Assoc., CMO Series 2012-36 Class CV, 4.00%, 6/25/2023		2,416,360		2,508,462
Federal National Mtg Assoc., CMO Series 2013-81 Class FW Floating Rate Note, 1.282%, 1/25/2043		3,268,298		3,249,196
Federal National Mtg Assoc., CMO Series 2013-92 Class FA, 1.532%, 9/25/2043		2,299,582		2,305,254
Federal National Mtg Assoc., CMO Series 2015-AB5 Class A10, 3.15%, 9/25/2035		2,453,969		2,453,233
Federal National Mtg Assoc., Pool 044003, 8.00%, 6/1/2017		6		6
Federal National Mtg Assoc., Pool 252648, 6.50%, 5/1/2022		22,807		24,641
Federal National Mtg Assoc., Pool 342947, 7.25%, 4/1/2024		54,451		60,381
Federal National Mtg Assoc., Pool 443909, 6.50%, 9/1/2018		5,533		5,685
Federal National Mtg Assoc., Pool 555207, 7.00%, 11/1/2017		385		389
Federal National Mtg Assoc., Pool 726308, 4.00%, 7/1/2018		68,535		70,845
Federal National Mtg Assoc., Pool 889906, 4.00%, 7/1/2023		169,980		178,112
Federal National Mtg Assoc., Pool 895572, 3.07%, 6/1/2036		265,969		282,035
Federal National Mtg Assoc., Pool 930986, 4.50%, 4/1/2019		167,723		171,491

10    Semi-Annual Reports

Schedule of Investments, Continued
Thornburg Limited Term U.S. Government Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	PRINCIPAL AMOUNT		VALUE
Federal National Mtg Assoc., Pool AA2870, 4.00%, 3/1/2024	$	447,598	$	470,372
Federal National Mtg Assoc., Pool AB7997, 2.50%, 2/1/2023		832,379		842,361
Federal National Mtg Assoc., Pool AB8447, 2.50%, 2/1/2028		2,027,714		2,052,031
Federal National Mtg Assoc., Pool AD8191, 4.00%, 9/1/2025		737,453		777,178
Federal National Mtg Assoc., Pool AE0704, 4.00%, 1/1/2026		2,860,103		3,016,850
Federal National Mtg Assoc., Pool AH3487, 3.50%, 2/1/2026		3,180,600		3,318,633
Federal National Mtg Assoc., Pool AJ1752, 3.50%, 9/1/2026		2,102,420		2,193,662
Federal National Mtg Assoc., Pool AK6518, 3.00%, 3/1/2027		1,881,430		1,939,196
Federal National Mtg Assoc., Pool AU2669, 2.50%, 10/1/2028		2,044,865		2,071,624
Federal National Mtg Assoc., Pool MA0045, 4.00%, 4/1/2019		108,080		111,723
Federal National Mtg Assoc., Pool MA0071, 4.50%, 5/1/2019		86,038		87,971
Federal National Mtg Assoc., Pool MA0125, 4.50%, 7/1/2019		71,846		73,466
Federal National Mtg Assoc., Pool MA0380, 4.00%, 4/1/2020		202,442		209,266
Federal National Mtg Assoc., Pool MA1582, 3.50%, 9/1/2043		4,745,586		4,856,996
Federal National Mtg Assoc., Pool MA1585, 2.00%, 9/1/2023		2,027,094		2,038,734
Federal National Mtg Assoc., Pool MA1625, 3.00%, 10/1/2023		2,193,914		2,261,960
Federal National Mtg Assoc., Pool MA2322, 2.50%, 7/1/2025		1,767,901		1,791,312
Federal National Mtg Assoc., Pool MA2353, 3.00%, 8/1/2035		2,673,088		2,718,301
Federal National Mtg Assoc., Pool MA2480, 4.00%, 12/1/2035		2,879,646		3,055,349
Federal National Mtg Assoc., Pool MA2499, 2.50%, 1/1/2026		2,853,200		2,892,766
Federal National Mtg Assoc., Pool MA2612, 2.50%, 5/1/2026		1,979,917		2,007,373
Government National Mtg Assoc., CMO Series 2010-160 Class VY, 4.50%, 1/20/2022		495,040		522,837
Government National Mtg Assoc., Pool 003550, 5.00%, 5/20/2019		85,154		87,515
Government National Mtg Assoc., Pool 714631, 5.722%, 10/20/2059		306,892		311,842
Government National Mtg Assoc., Pool 721652, 5.057%, 5/20/2061		2,263,906		2,350,296
Government National Mtg Assoc., Pool 751388, 5.305%, 1/20/2061		2,022,719		2,141,375
Government National Mtg Assoc., Pool 751392, 5.00%, 2/20/2061		4,505,099		4,859,017
Government National Mtg Assoc., Pool 757313, 4.30%, 12/20/2060		2,347,713		2,387,995
Government National Mtg Assoc., Pool 894205, 2.125%, 8/20/2039		359,725		370,201
Government National Mtg Assoc., Pool MA0100, 2.50%, 5/20/2042		1,165,052		1,193,241
Government National Mtg Assoc., Pool MA0907, 2.00%, 4/20/2028		2,855,002		2,787,865
TOTAL MORTGAGE BACKED (Cost $148,960,696)				148,021,972
SHORT TERM INVESTMENTS — 6.52%
Bank of New York Tri-Party Repurchase Agreement 1.03% dated 3/31/2017 due 4/3/2017, repurchase price $14,001,202 collateralized by 18 U.S. Government debt securities, having an average coupon of 2.71%, a minimum credit rating of BBB-, maturity dates from 3/25/2019 to 2/20/2047, and having an aggregate market value of $14,253,827 at 3/31/2017		14,000,000		14,000,000
Federal Home Loan Discount Note, 0.30%, 4/3/2017		5,100,000		5,099,915
TOTAL SHORT TERM INVESTMENTS (Cost $19,099,915)				19,099,915
TOTAL INVESTMENTS — 99.70% (Cost $292,595,596)			$	292,018,716
OTHER ASSETS LESS LIABILITIES — 0.30%				870,078
NET ASSETS — 100.00%			$	292,888,794

Footnote Legend

a Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

CMO	Collateralized Mortgage Obligation
Mtg	Mortgage
REMIC	Real Estate Mortgage Investment Conduit
VA	Veterans Affairs

See notes to financial statements.

Semi-Annual Reports    11

Fund Summary
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund’s primary objective is to provide as high a level of current income as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. As a secondary goal, the Fund seeks to reduce changes in its share price compared to longer term portfolios.

This Fund is a laddered portfolio primarily composed of short/intermediate debt obligations which are investment grade or judged by the advisor to be of equivalent quality, with a dollar-weighted average maturity of normally less than five years.

LONG-TERM STABILITY OF PRINCIPAL

Net Asset Value History of A Shares

KEY PORTFOLIO ATTRIBUTES

Number of Bonds	596
Effective Duration	2.6 Yrs
Average Maturity	3.6 Yrs

SECURITY CREDIT RATINGS

Credit quality ratings for Thornburg’s global fixed income portfolios used ratings from Moody’s Investors Service. Where Moody’s ratings are not available, we have used Standard & Poor’s ratings. Where neither rating is available, we have used ratings from other nationally recognized statistical rating organizations (NRSROs).

PORTFOLIO LADDER

Percent of portfolio maturing in each year. Cash includes cash equivalents.

There is no guarantee that the Fund will meet its investment objectives.

All data is subject to change. Charts may not add up to 100% due to rounding.

12    Semi-Annual Reports

Schedule of Investments
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
U.S. TREASURY SECURITIES — 6.50%
United States Treasury Notes, 0.875% due 6/15/2017		NR/Aaa	$	14,900,000	$	14,902,445
United States Treasury Notes, 0.875% due 7/15/2017		NR/Aaa		36,500,000		36,505,417
United States Treasury Notes, 0.75% due 4/30/2018		NR/Aaa		6,875,000		6,848,413
United States Treasury Notes, 1.625% due 3/31/2019		NR/Aaa		15,000,000		15,106,171
United States Treasury Notes, 1.50% due 5/31/2019		NR/Aaa		10,000,000		10,042,969
United States Treasury Notes, 2.75% due 11/15/2023		NR/Aaa		5,500,000		5,694,778
United States Treasury Notes, 2.25% due 11/15/2024		NR/Aaa		41,780,000		41,675,550
United States Treasury Notes, 2.00% due 8/15/2025		NR/Aaa		17,500,000		17,040,898
United States Treasury Notes, 1.625% due 2/15/2026		NR/Aaa		25,200,000		23,695,285
United States Treasury Notes, 1.50% due 8/15/2026		NR/Aaa		58,000,000		53,674,018
United States Treasury Notes, 2.00% due 11/15/2026		NR/Aaa		22,633,000		21,864,363
United States Treasury Notes Inflationary Index, 0.125% due 4/15/2020		NR/Aaa		17,167,003		17,423,657
United States Treasury Notes Inflationary Index, 0.25% due 1/15/2025		NR/Aaa		5,637,940		5,589,821
United States Treasury Notes Inflationary Index, 0.125% due 7/15/2026		NR/Aaa		45,492,378		44,388,091
TOTAL U.S. TREASURY SECURITIES (Cost $318,199,309)						314,451,876
U.S. GOVERNMENT AGENCIES — 4.80%
Alex Alpha, LLC, (Guaranty: Export-Import Bank of the United States), 1.617% due 8/15/2024		NR/NR		3,260,869		3,173,129
Altitude Investments 12, LLC, (Guaranty: Export-Import Bank of the United States), 2.454% due 12/9/2025		NR/NR		5,301,473		5,297,365
a CoBank, ACB Floating Rate Note, (Federal Farm Credit Banks), 1.731% due 6/15/2022		A-/NR		27,800,000		26,837,342
b Durrah MSN 35603, (Guaranty: Export-Import Bank of the United States), 1.684% due 1/22/2025		NR/NR		10,296,274		10,007,762
DY8 Leasing, LLC, (Guaranty: Export-Import Bank of the United States), 2.627% due 4/29/2026		NR/NR		3,950,521		3,976,871
Export Leasing (2009), LLC, (Guaranty: Export-Import Bank of the United States), 1.859% due 8/28/2021		NR/NR		4,083,811		4,059,986
b Gate Capital Cayman One Ltd., (Guaranty: Export-Import Bank of the United States), 1.839% due 3/27/2021		NR/NR		6,615,423		6,579,085
Helios Leasing I, LLC, (Guaranty: Export-Import Bank of the United States), 1.562% due 9/28/2024		NR/NR		3,887,684		3,758,057
b Micron Semiconductor Ltd., (Guaranty: Export-Import Bank of the United States), 1.258% due 1/15/2019		NR/NR		1,720,000		1,708,349
Mortgage-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06% due 1/15/2022		AA+/NR		586,303		589,264
b MSN 41079 and 41084 Ltd., (Guaranty: Export-Import Bank of the United States), 1.717% due 7/13/2024		NR/NR		7,808,299		7,620,111
b Petroleos Mexicanos Floating Rate Note, (Guaranty: Export-Import Bank of the United States), 1.373% due 4/15/2025		NR/NR		8,547,000		8,435,111
b Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 1.70% due 12/20/2022		NR/NR		6,240,000		6,145,520
b Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 2.46% due 12/15/2025		NR/NR		6,750,000		6,749,770
Private Export Funding Corp., (Guaranty: Export-Import Bank of the United States), 5.45% due 9/15/2017		NR/Aaa		3,000,000		3,058,962
Private Export Funding Corp., (Guaranty: Export-Import Bank of the United States), 3.55% due 1/15/2024		NR/Aaa		10,000,000		10,651,170
b Reliance Industries Ltd., (Guaranty: Export-Import Bank of the United States), 2.512% due 1/15/2026		NR/NR		5,850,000		5,860,822
b Reliance Industries Ltd., (Guaranty: Export-Import Bank of the United States), 2.06% due 1/15/2026		NR/NR		1,350,000		1,326,509
b Reliance Industries Ltd., (Guaranty: Export-Import Bank of the United States), 1.87% due 1/15/2026		NR/NR		6,461,053		6,296,341
Sandalwood 2013, LLC, (Guaranty: Export-Import Bank of the United States), 2.821% due 2/12/2026		NR/NR		5,443,357		5,524,594
Santa Rosa Leasing, LLC, (Guaranty: Export-Import Bank of the United States), 1.693% due 8/15/2024		NR/NR		3,866,697		3,773,259
Santa Rosa Leasing, LLC, (Guaranty: Export-Import Bank of the United States), 1.472% due 11/3/2024		NR/NR		10,683,427		10,311,591
Small Business Administration Participation Certificates, Series 2001-20J Class 1, 5.76% due 10/1/2021		NR/NR		201,599		212,693
Small Business Administration Participation Certificates, Series 2008-20D Class 1, 5.37% due 4/1/2028		NR/NR		1,118,558		1,211,096
Small Business Administration Participation Certificates, Series 2009-20E Class 1, 4.43% due 5/1/2029		NR/NR		1,041,196		1,104,026
Small Business Administration Participation Certificates, Series 2009-20K Class 1, 4.09% due 11/1/2029		NR/NR		6,060,771		6,410,491
Small Business Administration Participation Certificates, Series 2011-20E Class 1, 3.79% due 5/1/2031		NR/NR		7,772,340		8,135,509
Small Business Administration Participation Certificates, Series 2011-20F Class 1, 3.67% due 6/1/2031		NR/NR		1,222,166		1,274,603
Small Business Administration Participation Certificates, Series 2011-20G Class 1, 3.74% due 7/1/2031		NR/NR		8,167,491		8,542,693
Small Business Administration Participation Certificates, Series 2011-20I Class 1, 2.85% due 9/1/2031		NR/NR		11,425,343		11,568,142
Small Business Administration Participation Certificates, Series 2011-20K Class 1, 2.87% due 11/1/2031		NR/NR		9,615,257		9,739,928
Small Business Administration Participation Certificates, Series 2012-20D Class 1, 2.67% due 4/1/2032		NR/NR		9,736,131		9,736,329
Small Business Administration Participation Certificates, Series 2012-20J Class 1, 2.18% due 10/1/2032		NR/NR		7,510,460		7,370,288
Small Business Administration Participation Certificates, Series 2012-20K Class 1, 2.09% due 11/1/2032		NR/NR		4,736,344		4,614,168
a,c U.S. Department of Transportation, 6.001% due 12/7/2021		NR/NR		3,000,000		3,360,000
Union 13 Leasing, LLC, (Guaranty: Export-Import Bank of the United States), 1.682% due 12/19/2024		NR/NR		10,015,338		9,730,302
b Washington Aircraft 2 Co. Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of the United States), 1.583% due 6/26/2024		NR/NR		7,418,601		7,310,045
TOTAL U.S. GOVERNMENT AGENCIES (Cost $234,470,494)						232,061,283
OTHER GOVERNMENT — 1.30%
a,b Carpintero Finance Ltd., (Guaranty: Export Credits Guarantee Department of the United Kingdom), 2.004% due 9/18/2024		NR/NR		7,491,146		7,377,184
a,b Carpintero Finance Ltd., (Guaranty: Export Credits Guarantee Department of the United Kingdom), 2.581% due 11/11/2024		NR/NR		10,616,111		10,681,612
a,b Government of Bermuda, 5.603% due 7/20/2020		A+/A2		3,000,000		3,273,750
a,b Government of Bermuda, 4.138% due 1/3/2023		A+/A2		4,000,000		4,106,540

Semi-Annual Reports    13

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
a,b Khadrawy Ltd., (Guaranty: Export Credit Guarantee Department of the United Kingdom), 2.471% due 3/31/2025		NR/NR	$	5,089,076	$	5,043,275
a,b Korea National Oil Corp., 2.75% due 1/23/2019		AA/Aa2		5,000,000		5,047,135
b North American Development Bank, 4.375% due 2/11/2020		NR/Aa1		15,500,000		16,447,794
a,b Seven and Seven Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of Korea), 2.43% due 9/11/2019		NR/NR		11,150,000		11,077,179
TOTAL OTHER GOVERNMENT (Cost $62,752,771)						63,054,469
MORTGAGE BACKED — 4.80%
Federal Home Loan Mtg Corp. Multi-Family Structured Pass Through, Series KLH3 Class A Floating Rate Note, 1.489% due 11/25/2022		NR/NR		18,456,989		18,466,482
Federal Home Loan Mtg Corp. Whole Loan Securities, Series 2016-SC01 Class 2A, 3.50% due 7/25/2046		NR/NR		8,890,470		8,594,151
Federal Home Loan Mtg Corp., CMO Interest Only Series K008 Class X1, 1.618% due 6/25/2020		NR/NR		35,424,408		1,364,662
Federal Home Loan Mtg Corp., CMO Interest Only Series K710 Class X1, 1.757% due 5/25/2019		NR/NR		46,209,825		1,345,884
Federal Home Loan Mtg Corp., CMO Series 2528 Class HN, 5.00% due 11/15/2017		NR/NR		20,720		20,928
Federal Home Loan Mtg Corp., CMO Series 2627 Class GY, 4.50% due 6/15/2018		NR/NR		205,273		207,826
Federal Home Loan Mtg Corp., CMO Series 2628 Class AB, 4.50% due 6/15/2018		NR/NR		50,453		51,155
Federal Home Loan Mtg Corp., CMO Series 2682 Class JG, 4.50% due 10/15/2023		NR/NR		616,256		640,670
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019		NR/NR		18,221		18,610
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50% due 7/15/2019		NR/NR		263,262		265,840
Federal Home Loan Mtg Corp., CMO Series 3195 Class PD, 6.50% due 7/15/2036		NR/NR		935,366		1,023,404
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50% due 3/15/2022		NR/NR		821,648		847,092
Federal Home Loan Mtg Corp., CMO Series 3504 Class PC, 4.00% due 1/15/2039		NR/NR		75,430		77,284
Federal Home Loan Mtg Corp., CMO Series 3919 Class VB, 4.00% due 8/15/2024		NR/NR		3,808,862		4,035,983
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00% due 4/15/2041		NR/NR		1,418,993		1,410,077
Federal Home Loan Mtg Corp., CMO Series 4050 Class MV, 3.50% due 8/15/2023		NR/NR		2,471,169		2,563,864
Federal Home Loan Mtg Corp., CMO Series 4079 Class WV, 3.50% due 3/15/2027		NR/NR		2,787,887		2,873,779
Federal Home Loan Mtg Corp., CMO Series 4097 Class TE, 1.75% due 5/15/2039		NR/NR		6,140,757		5,932,934
Federal Home Loan Mtg Corp., CMO Series 4120 Class TC, 1.50% due 10/15/2027		NR/NR		3,227,458		3,126,451
Federal Home Loan Mtg Corp., CMO Series K038 Class A1, 2.604% due 10/25/2023		NR/NR		11,561,996		11,708,680
Federal Home Loan Mtg Corp., CMO Series K039 Class A1, 2.683% due 12/25/2023		NR/NR		5,852,695		5,942,114
Federal Home Loan Mtg Corp., CMO Series K716 Class A1, 2.413% due 8/25/2047		NR/Aaa		4,444,733		4,498,670
Federal Home Loan Mtg Corp., Multi-Family Structured Pass Through, Series K710 Class A2, 1.883% due 5/25/2019		NR/NR		7,605,000		7,617,735
Federal Home Loan Mtg Corp., Pool D98887, 3.50% due 1/1/2032		NR/NR		3,623,968		3,784,923
Federal Home Loan Mtg Corp., Pool G15523, 2.50% due 8/1/2025		NR/NR		3,564,037		3,619,586
Federal Home Loan Mtg Corp., Pool J17504, 3.00% due 12/1/2026		NR/NR		1,961,197		2,021,412
Federal Home Loan Mtg Corp., REMIC Series 3838 Class GV, 4.00% due 3/15/2024		NR/NR		7,362,095		7,751,368
Federal Home Loan Mtg Corp., REMIC Series 4072 Class VA, 3.50% due 10/15/2023		NR/NR		1,907,428		1,979,662
c Federal Home Loan Mtg Corp., Series 2017-SCO1 Class 1A, 3.00% due 12/25/2046		NR/NR		27,000,000		26,067,658
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00% due 2/25/2018		NR/NR		66,820		67,523
Federal National Mtg Assoc., CMO Series 2003-74 Class KN, 4.50% due 8/25/2018		NR/NR		36,486		36,884
Federal National Mtg Assoc., CMO Series 2005-48 Class AR, 5.50% due 2/25/2035		NR/NR		197,667		204,972
Federal National Mtg Assoc., CMO Series 2007-42 Class PA, 5.50% due 4/25/2037		NR/NR		332,361		351,135
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 0.876% due 3/25/2039		NR/NR		722,824		623,175
Federal National Mtg Assoc., CMO Series 2009-5 Class A, 4.50% due 12/25/2023		NR/NR		266,131		269,450
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00% due 7/25/2024		NR/NR		242,205		246,904
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50% due 8/25/2019		NR/NR		125,280		126,931
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00% due 12/25/2022		NR/NR		224,319		224,248
Federal National Mtg Assoc., CMO Series 2011-15 Class VA, 4.00% due 4/25/2022		NR/NR		1,010,800		1,034,915
Federal National Mtg Assoc., CMO Series 2012-129 Class LA, 3.50% due 12/25/2042		NR/NR		8,483,192		8,634,634
Federal National Mtg Assoc., CMO Series 2012-36 Class CV, 4.00% due 6/25/2023		NR/NR		2,204,324		2,288,345
Federal National Mtg Assoc., CMO Series 2013-81 Class FW Floating Rate Note, 1.282% due 1/25/2043		NR/NR		11,875,258		11,805,853
Federal National Mtg Assoc., Pool 357384, 4.50% due 5/1/2018		NR/NR		24,617		24,944
Federal National Mtg Assoc., Pool 897936, 5.50% due 8/1/2021		NR/NR		393,230		415,780
Federal National Mtg Assoc., Pool AB7997, 2.50% due 2/1/2023		NR/NR		4,531,647		4,585,991
Federal National Mtg Assoc., Pool AE0704, 4.00% due 1/1/2026		NR/NR		7,439,063		7,846,758
Federal National Mtg Assoc., Pool AK6518, 3.00% due 3/1/2027		NR/NR		2,624,355		2,704,931
d Federal National Mtg Assoc., Pool AL9612, 3.50% due 11/1/2043		NR/NR		9,620,324		9,900,291
Federal National Mtg Assoc., Pool MA1278, 2.50% due 12/1/2022		NR/NR		5,991,367		6,065,580
Federal National Mtg Assoc., Pool MA1585, 2.00% due 9/1/2023		NR/NR		7,677,618		7,721,704
Federal National Mtg Assoc., Pool MA1691, 3.00% due 12/1/2023		NR/NR		6,675,575		6,882,622
Federal National Mtg Assoc., Pool MA2612, 2.50% due 5/1/2026		NR/NR		19,245,109		19,511,985
Government National Mtg Assoc., CMO Series 2009-68 Class DP, 4.50% due 11/16/2038		NR/NR		346,640		363,098
Government National Mtg Assoc., Pool 714631, 5.722% due 10/20/2059		NR/NR		828,610		841,972
Government National Mtg Assoc., Pool 721652, 5.057% due 5/20/2061		NR/NR		3,300,672		3,426,625
Government National Mtg Assoc., Pool 731491, 5.158% due 12/20/2060		NR/NR		2,601,855		2,741,840
Government National Mtg Assoc., Pool 751388, 5.305% due 1/20/2061		NR/NR		3,178,559		3,365,018
Government National Mtg Assoc., Pool 783299, 4.50% due 2/15/2022		NR/NR		774,775		792,804

14    Semi-Annual Reports

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Government National Mtg Assoc., Pool 827148, 2.00% due 2/20/2024		NR/NR	$	17,484	$	17,770
Government National Mtg Assoc., Pool MA0100, 2.50% due 5/20/2042		NR/NR		1,176,820		1,205,294
TOTAL MORTGAGE BACKED (Cost $233,670,678)						232,188,860
ASSET BACKED SECURITIES — 22.24%
ADVANCE RECEIVABLES — 1.00%
a New Residential Advance Receivables Trust, Series 2016-T2 Class AT2, 2.575% due 10/15/2049		AAA/NR		22,700,000		22,458,813
a SPS Servicer Advance Receivables Trust, Series 2015-T3 Class AT3, 2.92% due 7/15/2047		NR/NR		13,875,000		13,896,281
a SPS Servicer Advance Receivables Trust, Series 2016-T1 Class AT1, 2.53% due 11/16/2048		AAA/NR		12,000,000		11,960,762
						48,315,856
AUTO RECEIVABLES — 3.47%
a Avis Budget Rental Car Funding AESOP, LLC, Series 2012-3A Class A, 2.10% due 3/20/2019		NR/Aaa		10,200,000		10,227,485
a Avis Budget Rental Car Funding AESOP, LLC, Series 2015-2A Class A, 2.63% due 12/20/2021		NR/Aaa		6,000,000		6,005,135
Capital Auto Receivables Asset Trust, Series 2016-3 Class A2A, 1.36% due 4/22/2019		AAA/Aaa		3,123,670		3,123,262
a Chesapeake Funding II, LLC, Series 2016-1A Class A1, 2.11% due 3/15/2028		NR/Aaa		13,256,791		13,265,930
a Chrysler Capital Auto Receivables Trust, Series 2013-BA Class A4, 1.27% due 3/15/2019		AAA/Aaa		3,657,644		3,657,523
a Drive Auto Receivables Trust, Series 2017-AA Class B, 2.51% due 1/15/2021		AA/Aa1		8,875,000		8,891,246
a Enterprise Fleet Financing, LLC, Series 2017-1 Class A2, 2.13% due 7/20/2022		AAA/NR		6,000,000		6,006,739
a Exeter Automobile Receivables Trust, Series 2015-1A Class B, 2.84% due 3/16/2020		AA-/NR		14,250,000		14,317,133
Ford Credit Auto Owner Trust, Series 2013-C Class A4, 1.25% due 10/15/2018		AAA/NR		311,755		311,748
a Ford Credit Auto Owner Trust, Series 2014-2 Class A, 2.31% due 4/15/2026		NR/Aaa		18,000,000		18,157,075
a Ford Credit Auto Owner Trust, Series 2015-1 Class A, 2.12% due 7/15/2026		AAA/NR		9,900,000		9,925,195
a Foursight Capital Automobile Receivables Trust, Series 2016-1 Class A2, 2.87% due 10/15/2021		A/NR		12,978,681		13,028,440
a GM Financial Automobile Leasing Trust, Series 2014-2A Class A4, 1.62% due 2/20/2018		NR/Aaa		13,400,000		13,405,523
a Hertz Vehicle Financing, LLC, Series 2013-1A Class A2, 1.83% due 8/25/2019		NR/Aaa		10,400,000		10,367,179
a Hertz Vehicle Financing, LLC, Series 2015-2A Class A, 2.02% due 9/25/2019		NR/Aaa		15,000,000		14,915,610
Nissan Auto Receivables Owner Trust, Series 2016-B Class A2B Floating Rate Note, 1.212% due 4/15/2019		NR/Aaa		9,545,526		9,556,926
a OSCAR US Funding Trust, Series 2014-1A Class A3, 1.72% due 4/15/2019		AAA/Aaa		5,055,930		5,027,551
a,c OSCAR US Funding Trust, Series 2016-2A Class A3, 2.73% due 12/15/2020		AAA/Aaa		7,430,000		7,407,710
						167,597,410
COMMERCIAL MTG TRUST — 2.91%
a Barclays Commercial Mortgage Securities, LLC, Series 2015-STP Class A, 3.323% due 9/10/2028		AAA/NR		5,880,924		6,032,270
a Bayview Commercial Asset Trust, Series 2004-3 Class A2 Floating Rate Note, 1.402% due 1/25/2035		NR/Aa2		2,690,855		2,582,210
a BHMS Mtg Trust, Series 2014-ATLS Class AFL Floating Rate Note, 2.33% due 7/5/2033		NR/NR		10,000,000		10,012,259
a CFCRE Commercial Mtg Trust, Series 2011-C1 Class A4, 4.961% due 4/15/2044		NR/Aaa		11,877,000		12,719,389
Citigroup Commercial Mortgage Trust, Series 2004-HYB2 Class B1, 3.317% due 3/25/2034		CCC/Caa2		176,580		144,548
COMM Mortgage Trust, Series 2016-DC2 Class A1, 1.82% due 2/10/2049		NR/Aaa		21,442,207		21,428,977
a DBUBS Mortgage Trust CMO, Series 2011-LC2A Class A1FL, 2.208% due 7/12/2044		NR/Aaa		4,012,091		4,036,703
a FREMF Mortgage Trust, Series 2013-KF02 Class B Floating Rate Note, 3.778% due 12/25/2045		NR/Baa3		1,146,838		1,159,587
a GAHR Commercial Mortgage Trust, Series 2015-NRF Class BFX, 3.382% due 12/15/2034		AA-/NR		24,980,000		25,461,212
a Hilton USA Trust, Series 2016-HHV Class A, 3.719% due 11/5/2038		NR/Aaa		7,000,000		7,153,689
a JPMorgan Chase Commercial Mortgage, Series 2014-BXH Class A Floating Rate Note, 1.812% due 4/15/2027		AAA/NR		18,322,891		18,333,629
a Madison Avenue Trust, Series 2015-11MD Class A, 3.555% due 9/10/2035		AAA/NR		12,000,000		12,333,953
a Morgan Stanley Re-REMIC Trust, Series 2009-GG10 Class A4A, 5.949% due 8/12/2045		NR/Aaa		451,291		451,334
a Wells Fargo Commercial Mtg Trust, Series 2013-120B Class A, 2.71% due 3/18/2028		AAA/NR		15,000,000		15,171,830
WFRBS Commercial Mortgage Trust, Series 2014-C22 Class A1, 1.479% due 9/15/2057		NR/Aaa		3,586,411		3,572,096
						140,593,686
CREDIT CARD — 2.58%
Barclays Dryrock Issuance Trust, Series 2015-4 Class A, 1.72% due 8/16/2021		AAA/NR		13,630,000		13,633,973
Barclays Dryrock Issuance Trust, Series 2016-1 Class A, 1.52% due 5/16/2022		AAA/NR		10,365,000		10,280,242
Cabela’s Master Credit Card Trust, Series 2015-1A Class A2 Floating Rate Note, 1.452% due 3/15/2023		AAA/NR		15,665,000		15,752,621
Cabela’s Master Credit Card Trust, Series 2016-1 Class A2 Floating Rate Note, 1.762% due 6/15/2022		AAA/NR		15,000,000		15,184,967
Capital One Multi-Asset Execution Trust, Series 2016-A1 Class A1 Floating Rate Note, 1.362% due 2/15/2022		AAA/NR		29,280,000		29,449,440
Synchrony Credit Card Master Note Trust, Series 2014-1 Class A, 1.61% due 11/15/2020		AAA/Aaa		14,613,000		14,634,258
Synchrony Credit Card Master Note Trust, Series 2015-2 Class A, 1.60% due 4/15/2021		AAA/NR		7,400,000		7,403,571
Synchrony Credit Card Master Note Trust, Series 2016-1 Class A, 2.04% due 3/15/2022		NR/Aaa		8,500,000		8,533,449
a,b Turquoise Card Backed Securities plc, Series 2012-1A Class A Floating Rate Note, 1.712% due 6/17/2019		NR/Aaa		10,000,000		10,007,360
						124,879,881
OTHER ASSET BACKED — 8.39%
a 321 Henderson Receivables, LLC, Series 2014-1A Class A, 3.96% due 3/15/2063		NR/Aaa		16,586,900		16,153,941
a Alterna Funding I, LLC, Series 2014-1A, 1.639% due 2/15/2021		NR/NR		1,629,966		1,597,367
a AMSR Trust, Series 2016-SFR1 Class A Floating Rate Note, 2.343% due 11/17/2033		NR/Aaa		15,900,000		15,969,361
Appalachian Consumer Rate Relief Funding, LLC, Series 2013-1 Class A1, 2.008% due 2/1/2024		AAA/Aaa		10,291,895		10,242,981

Semi-Annual Reports    15

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
a Ascentium Equipment Receivables, LLC, Series 2015-1A Class B, 2.26% due 6/10/2021		NR/Aaa	$	5,970,000	$	5,987,820
a BCC Funding Corp., Series 2016-1 Class A1, 1.10% due 9/20/2017		NR/NR		7,122,790		7,116,757
a CLI Funding V, LLC, Series 2014-2A Class A, 3.38% due 10/18/2029		A/NR		7,536,351		7,363,166
a,b Cronos Containers Program Ltd., Series 2013-1A Class A, 3.08% due 4/18/2028		A+/NR		6,083,333		5,860,925
a,b Cronos Containers Program Ltd., Series 2014-2A Class A, 3.27% due 11/18/2029		A+/NR		1,896,296		1,852,100
a Dell Equipment Finance Trust, Series 2015-2 Class A3, 1.72% due 9/22/2020		AAA/Aaa		9,875,000		9,893,988
a Dell Equipment Finance Trust, Series 2016-1 Class A3, 1.65% due 7/22/2021		AAA/Aaa		7,000,000		6,980,557
a Diamond Resorts Owner Trust, Series 2014-1 Class A, 2.54% due 5/20/2027		A+/NR		15,826,592		15,825,205
a Dominos Pizza Master Issuer, LLC, Series 2012-1A Class A2, 5.216% due 1/25/2042		BBB+/Baa1		17,657,724		17,989,727
a,b ECAF Ltd., Series 2015-1A Class A2, 4.947% due 6/15/2040		A/NR		4,870,312		4,675,499
a Engs Commercial Finance Trust, Series 2016-1A Class A1, 1.25% due 11/22/2017		NR/NR		7,975,486		7,976,542
Entergy New Orleans Storm Recovery Funding I, LLC, Series 2015-1 Class A, 2.67% due 6/1/2027		AAA/Aa1		13,264,526		13,346,136
a Fairway Outdoor Funding, LLC, Series 2012-1A Class A2, 4.212% due 10/15/2042		NR/NR		6,122,891		6,158,384
GE Dealer Floorplan Master Note Trust, Series 2012-2 Class A Floating Rate Note, 1.728% due 4/22/2019		NR/Aaa		14,900,000		14,903,743
a GTP Acquisition Partners I, LLC, Series 2015-1 Class A, 2.35% due 6/15/2045		NR/Aaa		9,900,000		9,773,082
Harley-Davidson Motorcycle Trust, Series 2015-2 Class A4, 1.66% due 12/15/2022		AAA/Aaa		22,544,000		22,507,819
a HERO Funding Trust, Series 2015-1A Class A, 3.84% due 9/21/2040		NR/NR		14,051,429		14,332,457
a Hertz Fleet Lease Funding LP, Series 2016-1 Class A1 Floating Rate Note, 1.958% due 4/10/2030		NR/Aaa		19,800,000		19,888,850
a Navistar Financial Dealer Note Master Owner Trust II, Series 2015-1 Class A Floating Rate Note, 2.382% due 6/25/2020		NR/Aaa		15,330,000		15,356,220
a Navitas Equipment Receivables, LLC, Series 2015-1 Class A2, 2.12% due 11/15/2018		NR/A1		3,823,610		3,820,818
Northwest Airlines, Inc., 7.027% due 5/1/2021		A/A2		3,794,813		4,193,268
a,c Northwind Holdings, LLC, Series 2007-1A Class A1 Floating Rate Note, 1.622% due 12/1/2037		A/Baa1		2,143,750		1,995,831
a OnDeck Asset Securitization Trust II, LLC, Series 2016-1A Class A, 4.21% due 5/17/2020		BBB+/NR		6,700,000		6,660,838
a OneMain Financial Issuance Trust, Series 2016-2A Class A, 4.10% due 3/20/2028		A+/NR		12,900,000		13,214,265
a PFS Financing Corp., Series 2014-BA Class A Floating Rate Note, 1.512% due 10/15/2019		AAA/Aaa		6,000,000		5,990,467
a PFS Financing Corp., Series 2015-AA Class A Floating Rate Note, 1.532% due 4/15/2020		AAA/Aaa		7,400,000		7,397,631
a PFS Financing Corp., Series 2016-BA Class A, 1.87% due 10/15/2021		AAA/Aaa		5,500,000		5,456,510
a PFS Tax Lien Trust, Series 2014-1, 1.44% due 5/15/2029		AAA/NR		1,100,280		1,093,226
a SBA Tower Trust, Series 2012-1 Class C, 2.933% due 12/9/2042		NR/A2		11,198,000		11,203,522
a SBA Tower Trust, Series 2014-1A Class C, 2.898% due 10/15/2044		NR/A2		17,900,000		17,955,619
a SBA Tower Trust, Series 2015-1 Class C, 3.156% due 10/15/2045		NR/A2		5,000,000		5,025,500
a SBA Tower Trust, Series 2016-1 Class C, 2.877% due 7/15/2021		NR/A2		9,500,000		9,444,045
a Sierra Receivables Funding Co., LLC, Series 2012-2A Class A, 2.05% due 6/20/2031		A/NR		1,675,877		1,671,661
a Sierra Receivables Funding Co., LLC, Series 2014-1A Class A, 2.07% due 3/20/2030		A/NR		3,445,740		3,411,099
a Sierra Receivables Funding Co., LLC, Series 2015-1A Class A, 2.40% due 3/22/2032		A/NR		3,584,303		3,568,145
a Sierra Receivables Funding Co., LLC, Series 2015-2A Class A, 2.43% due 6/20/2032		A/NR		2,612,299		2,606,985
a Sierra Receivables Funding Co., LLC, Series 2015-3A Class A, 2.58% due 9/20/2032		A/NR		7,120,938		7,147,974
a Sonic Capital, LLC, Series 2016-1A Class A2, 4.472% due 5/20/2046		BBB/NR		9,345,167		9,210,340
a Springfield Funding Trust, Series 2015-AA Class A, 3.16% due 11/15/2024		A+/NR		13,000,000		13,103,345
a Tax Ease Funding, LLC, Series 2016-1A Class A, 3.131% due 6/15/2028		NR/NR		10,341,621		10,348,284
a Westgate Resorts, Series 2016-1A Class A, 3.50% due 12/20/2028		NR/NR		9,380,656		9,325,925
						405,597,925
RESIDENTIAL MTG TRUST — 1.23%
a Angel Oak Mortgage Trust LLC, Series 2017-1 Class A2, 3.085% due 1/25/2047		NR/NR		7,160,871		7,160,770
a B2R Mortgage Trust, Series 2015-2 Class A, 3.336% due 11/15/2048		NR/NR		9,557,289		9,518,576
a Citigroup Mortgage Loan Trust, Inc., Series 2014-A Class A, 4.00% due 1/25/2035		AAA/NR		3,246,367		3,341,210
Countrywide Home Loan, Series 2004-HYB2 Class 1A, 3.374% due 7/20/2034		A/B1		196,602		203,474
a FDIC Trust, Series 2013-R1 Class A, 1.15% due 3/25/2033		NR/NR		2,603,850		2,575,819
Merrill Lynch Mortgage Investors Trust, Series 2003-E Class B3, 3.232% due 10/25/2028		D/Ca		261,772		8,425
Merrill Lynch Mortgage Investors Trust, Series 2004-A4 Class M1, 2.855% due 8/25/2034		CCC/NR		634,396		580,305
a Nationstar HECM Loan Trust, Series 16-1A Class A, 2.981% due 2/25/2026		NR/Aaa		4,111,443		4,111,443
Option One Mortgage Loan Trust, Series 2005-5 Class A3 Floating Rate Note, 1.192% due 12/25/2035		AA+/Aa2		366,899		367,079
Popular ABS Mortgage Pass-Through Trust, Series 2005-4 Class AF5, 5.537% due 9/25/2035		A+/A1		435,740		437,873
Residential Asset Mortgage Products, Inc., Series 2003-SL1 Class A31, 7.125% due 4/25/2031		AA+/NR		1,229,366		1,269,511
a Shellpoint Asset Funding Trust, Series 2013-1 Class A1, 3.75% due 7/25/2043		NR/NR		6,314,164		6,361,341
Structured Asset Securities Corp., Series 2003-9A Class 2A2, 2.975% due 3/25/2033		AA+/NR		1,368,142		1,387,492
a Towd Point Mortgage Trust, Series 2016-5 Class A1, 2.50% due 10/25/2056		NR/NR		14,243,417		14,154,378
a Towd Point Mortgage Trust, Series 2017-1 Class A1, 2.75% due 10/25/2056		NR/Aaa		7,883,247		7,885,956
Washington Mutual Mortgage, Series 2003-S13 Class 21A1, 4.50% due 12/25/2018		AA+/NR		124,537		124,491
						59,488,143
STUDENT LOAN — 2.66%
Navient Student Loan Trust, Series 2014-1 Class A3 Floating Rate Note, 1.492% due 6/25/2031		NR/A1		10,750,000		10,482,593
a Navient Student Loan Trust, Series 2015-AA Class A2B Floating Rate Note, 2.112% due 12/15/2028		NR/Aaa		7,000,000		7,099,895
a Navient Student Loan Trust, Series 2016-6A Class A2 Floating Rate Note, 1.732% due 3/25/2066		AAA/Aaa		13,900,000		13,982,694
a Nelnet Student Loan Trust, Series 2013-1A Class A Floating Rate Note, 1.582% due 6/25/2041		NR/Aaa		8,414,271		8,312,377

16    Semi-Annual Reports

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
a Nelnet Student Loan Trust, Series 2016-A Class A1A, 2.528% due 12/26/2040		NR/NR	$	16,339,669	$	16,339,652
a Pennsylvania Higher Education Assistance Agency, Series 2012-1A Class A1 Floating Rate Note, 1.532% due 5/25/2057		AA+/NR		2,754,819		2,722,037
SLM Student Loan Trust, Series 2003-C Class A2 Floating Rate Note, 1.521% due 9/15/2020		AAA/Aaa		515,778		509,708
a SLM Student Loan Trust, Series 2011-A Class A3 Floating Rate Note, 3.412% due 1/15/2043		AAA/Aaa		13,650,000		14,265,382
a SLM Student Loan Trust, Series 2011-B Class A2, 3.74% due 2/15/2029		AAA/Aaa		3,907,305		3,983,829
SLM Student Loan Trust, Series 2013-6 Class A2 Floating Rate Note, 1.482% due 2/25/2021		NR/Aaa		1,400,432		1,401,000
SLM Student Loan Trust, Series 2013-6 Class A3 Floating Rate Note, 1.632% due 6/25/2055		NR/Aaa		24,700,000		24,616,171
a SMB Private Education Loan Trust, Series 2015-A Class A3 Floating Rate Note, 2.412% due 2/17/2032		AAA/Aaa		10,000,000		10,206,014
a Social Professional Loan Program, LLC, Series 2014-A Class A1 Floating Rate Note, 2.356% due 6/25/2025		AAA/NR		1,864,132		1,903,667
a Social Professional Loan Program, LLC, Series 2014-A Class A2, 3.02% due 10/25/2027		AAA/NR		9,299,897		9,402,914
a Social Professional Loan Program, LLC, Series 2014-B Class A1 Floating Rate Note, 2.028% due 8/25/2032		AAA/Aa3		2,676,024		2,713,040
a Social Professional Loan Program, LLC, Series 2014-B Class A2, 2.55% due 8/27/2029		AAA/Aa1		859,703		862,520
						128,803,493
TOTAL ASSET BACKED SECURITIES (Cost $1,075,244,284)						1,075,276,394
CORPORATE BONDS — 47.70%
AUTOMOBILES & COMPONENTS — 1.20%
Automobiles — 1.20%
a Daimler Finance North America, LLC, 2.45% due 5/18/2020		A/A2		9,850,000		9,862,411
a Daimler Finance North America, LLC, 1.60% due 8/3/2017		A/A2		3,000,000		2,999,622
a Daimler Finance North America, LLC, 3.875% due 9/15/2021		A/A2		5,000,000		5,235,325
a Hyundai Capital America, 2.00% due 3/19/2018		A-/Baa1		4,950,000		4,954,460
a Hyundai Capital America, 2.40% due 10/30/2018		A-/Baa1		9,950,000		9,981,293
a Nissan Motor Acceptance Corp., 1.95% due 9/12/2017		A-/A2		14,900,000		14,914,408
a Volkswagen Group of America, Inc., 1.65% due 5/22/2018		BBB+/A3		10,000,000		9,970,990
						57,918,509
BANKS — 3.68%
Banks — 3.68%
a,b Banco BTG Pactual SA/Cayman Islands N.A., 4.00% due 1/16/2020		NR/Ba3		7,000,000		6,754,720
a,b Banco Latinoamericano de Comercio Exterior, S.A., 3.75% due 4/4/2017		BBB/NR		4,000,000		4,000,000
Bank of America Corp. Floating Rate Note, 2.063% due 1/15/2019		BBB+/Baa1		4,225,000		4,276,207
Bank of America Corp. Floating Rate Note, 1.868% due 4/1/2019		BBB+/Baa1		8,000,000		8,069,976
Bank of America Corp. Floating Rate Note, 1.55% due 6/5/2017		A+/A1		7,000,000		7,005,012
b Barclays plc, 3.684% due 1/10/2023		BBB/Baa2		10,000,000		10,047,390
b Barclays plc Floating Rate Note, 2.635% due 1/10/2023		BBB/Baa2		9,000,000		9,095,976
Citigroup, Inc., 2.50% due 7/29/2019		BBB+/Baa1		2,925,000		2,951,398
Citigroup, Inc. Floating Rate Note, 2.485% due 9/1/2023		BBB+/Baa1		14,000,000		14,396,200
Citizens Bank N.A., 2.25% due 3/2/2020		A-/Baa1		5,000,000		4,992,820
a,b DNB Bank ASA, 3.20% due 4/3/2017		A+/NR		10,000,000		10,000,000
Fifth Third Bank, 2.30% due 3/15/2019		A-/A3		3,800,000		3,825,696
First Tennessee Bank, 2.95% due 12/1/2019		BBB/Baa3		7,000,000		7,081,921
JPMorgan Chase & Co. Floating Rate Note, 2.535% due 3/1/2021		A-/A3		7,000,000		7,217,385
Manufacturers and Traders Trust Co., 2.30% due 1/30/2019		A/A3		10,000,000		10,085,400
b Mitsubishi UFJ Financial Group, Inc. Floating Rate Note, 2.935% due 3/1/2021		A/A1		9,500,000		9,823,722
a,b Mizuho Bank Ltd., 2.45% due 4/16/2019		A/A1		7,000,000		7,035,462
a,b Mizuho Bank Ltd. Floating Rate Note, 2.22% due 10/20/2018		A/A1		5,000,000		5,049,590
National City Bank Floating Rate Note, 1.472% due 6/7/2017		A-/A3		5,000,000		5,000,085
b Santander UK plc Floating Rate Note, 2.601% due 3/14/2019		A/Aa3		9,900,000		10,068,221
a,b Sberbank of Russia, 5.50% due 2/26/2024		NR/NR		1,030,000		1,059,417
a Sovereign Bank, 12.18% due 6/30/2020		BBB+/A3		2,945,211		3,664,049
b Sumitomo Mitsui Banking Corp. Floating Rate Note, 1.781% due 7/23/2018		A/A1		14,700,000		14,756,580
b Sumitomo Mitsui Banking Corp. Floating Rate Note, 1.695% due 10/19/2018		A/A1		7,000,000		7,019,068
Wells Fargo & Co. Floating Rate Note, 2.112% due 12/7/2020		A/A2		4,400,000		4,462,911
						177,739,206
CAPITAL GOODS — 1.56%
Construction & Engineering — 0.19%
URS Corp., 3.85% due 4/1/2017		BB-/NR		8,895,000		8,895,000
Electrical Equipment — 0.14%
Hubbell, Inc., 3.35% due 3/1/2026		A/A3		7,000,000		6,958,812

Semi-Annual Reports    17

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Industrial Conglomerates — 0.65%
Roper Technologies, Inc., 3.125% due 11/15/2022		BBB/Baa3	$	6,000,000	$	6,052,704
Roper Technologies, Inc., 3.00% due 12/15/2020		BBB/Baa3		4,870,000		4,961,527
a,b Siemens Financieringsmaatschappij N.V., 1.747% due 3/16/2022		A+/A1		5,000,000		5,015,125
a,b Siemens Financieringsmaatschappij N.V., 2.90% due 5/27/2022		A+/A1		12,000,000		12,092,196
a,b Smiths Group plc, 7.20% due 5/15/2019		BBB+/Baa2		3,000,000		3,270,270
Machinery — 0.58%
Aeroquip Vickers, Inc., 6.875% due 4/9/2018		A-/NR		1,500,000		1,552,005
Ingersoll Rand Co., 6.391% due 11/15/2027		BBB/Baa2		3,000,000		3,502,956
Stanley Black & Decker, Inc., 2.451% due 11/17/2018		A-/Baa2		6,900,000		6,971,891
Wabtec Corp., 4.375% due 8/15/2023		BBB/Baa3		10,590,000		11,042,542
a Wabtec Corp., 3.45% due 11/15/2026		BBB/Baa3		5,000,000		4,862,210
						75,177,238
COMMERCIAL & PROFESSIONAL SERVICES — 0.36%
Commercial Services & Supplies — 0.06%
Cintas Corp. No. 2, 2.90% due 4/1/2022		BBB+/A3		2,622,000		2,652,581
Professional Services — 0.30%
Dun & Bradstreet, Inc., 4.25% due 6/15/2020		BB+/NR		7,175,000		7,452,507
Verisk Analytics, Inc., 4.00% due 6/15/2025		BBB-/Baa3		6,930,000		7,043,666
						17,148,754
CONSUMER DURABLES & APPAREL — 0.22%
Household Durables — 0.22%
Tupperware Brands Corp., 4.75% due 6/1/2021		BBB-/Baa3		10,000,000		10,657,760
						10,657,760
CONSUMER SERVICES — 0.31%
Diversified Consumer Services — 0.31%
George Washington University, 4.411% due 9/15/2017		A+/A1		1,650,000		1,668,495
Rensselaer Polytechnic I, 5.60% due 9/1/2020		BBB+/A3		10,925,000		11,905,092
University of Chicago, 3.065% due 10/1/2024		AA-/Aa2		1,325,000		1,300,028
						14,873,615
DIVERSIFIED FINANCIALS — 7.65%
Capital Markets — 5.76%
Ares Capital Corp., 4.875% due 11/30/2018		BBB/NR		18,000,000		18,675,702
a Ares Finance Co., LLC, 4.00% due 10/8/2024		BBB+/NR		5,000,000		4,682,425
a,b BTG Investments LP, 4.50% due 4/17/2018		NR/NR		18,500,000		18,077,830
CBOE Holdings, Inc., 3.65% due 1/12/2027		BBB+/Baa1		6,824,000		6,860,508
b Credit Suisse Group AG - New York, 1.70% due 4/27/2018		A/A1		9,325,000		9,312,672
b Credit Suisse Group Funding (Guernsey) Ltd., 3.80% due 9/15/2022		BBB+/Baa2		7,000,000		7,095,256
b Credit Suisse Group Funding (Guernsey) Ltd., 3.125% due 12/10/2020		BBB+/Baa2		10,000,000		10,055,470
b Credit Suisse Group Funding (Guernsey) Ltd., 4.55% due 4/17/2026		BBB+/Baa2		7,000,000		7,234,878
a,b Deutsche Bank AG, 4.25% due 10/14/2021		BBB-/Baa2		8,675,000		8,890,773
FS Investment Corp., 4.00% due 7/15/2019		BBB/NR		12,000,000		12,104,748
Goldman Sachs Group, Inc. Floating Rate Note, 2.061% due 10/23/2019		BBB+/A3		14,772,000		14,929,425
Goldman Sachs Group, Inc. Floating Rate Note, 2.331% due 9/15/2020		BBB+/A3		17,900,000		18,159,228
a,b IPIC GMTN Ltd., 5.00% due 11/15/2020		AA/Aa2		1,000,000		1,081,000
a,b IPIC GMTN Ltd., 5.50% due 3/1/2022		AA/Aa2		3,500,000		3,893,169
Legg Mason, Inc., 2.70% due 7/15/2019		BBB/Baa1		1,660,000		1,676,190
Legg Mason, Inc., 4.75% due 3/15/2026		BBB/Baa1		5,000,000		5,245,665
a,b Macquarie Bank Ltd., 1.60% due 10/27/2017		A/A2		5,000,000		5,000,070
Merrill Lynch & Co., 1.585% due 5/2/2017		BBB/Baa3		5,000,000		5,000,655
Moody’s Corp., 2.75% due 7/15/2019		BBB+/NR		4,875,000		4,938,516
Moody’s Corp., 4.875% due 2/15/2024		BBB+/NR		17,000,000		18,551,590
Moody’s Corp. Floating Rate Note, 1.414% due 9/4/2018		BBB+/NR		6,950,000		6,962,044
Morgan Stanley, 2.80% due 6/16/2020		BBB+/A3		1,350,000		1,366,376
Morgan Stanley Floating Rate Note, 2.177% due 1/27/2020		BBB+/A3		925,000		940,977
Morgan Stanley Floating Rate Note, 2.443% due 10/24/2023		BBB+/A3		19,900,000		20,322,298
State Street Corp. Floating Rate Note, 1.952% due 8/18/2020		A/A1		9,475,000		9,655,158
a,b SumitG Guaranteed Secured Obligation Issuer D.A.C, 2.251% due 11/2/2020		NR/Aa2		15,000,000		14,842,560
TD Ameritrade Holding Corp., 2.95% due 4/1/2022		A/A3		2,550,000		2,581,475
The Bank of New York Mellon Corp. Floating Rate Note, 1.912% due 8/17/2020		A/A1		4,525,000		4,606,477
e The Bank of New York Mellon Corp. Floating Rate Note, 2.089% due 10/30/2023		A/A1		11,835,000		12,105,761

18    Semi-Annual Reports

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
a,b UBS AG Jersey Floating Rate Note, 2.597% due 9/24/2020		A-/Baa1	$	10,800,000	$	11,008,969
b UBS AG Stamford, 2.375% due 8/14/2019		A+/A1		9,500,000		9,563,764
b UBS AG Stamford, 1.80% due 3/26/2018		A+/A1		3,000,000		3,002,130
Consumer Finance — 0.39%
Capital One Bank (USA), N.A., 2.30% due 6/5/2019		BBB+/Baa1		3,000,000		3,006,339
Synchrony Financial, 3.00% due 8/15/2019		BBB-/NR		1,950,000		1,980,418
Western Union Co., 3.65% due 8/22/2018		BBB/Baa2		2,000,000		2,046,986
Western Union Co., 3.35% due 5/22/2019		BBB/Baa2		11,350,000		11,594,638
Diversified Financial Services — 1.50%
a Athene Global Funding, 2.875% due 10/23/2018		A-/NR		13,925,000		14,006,503
General Electric Capital Corp. Floating Rate Note, 1.302% due 12/28/2018		AA-/A1		4,850,000		4,829,320
General Electric Capital Corp. Floating Rate Note, 2.131% due 3/15/2023		AA-/A1		7,725,000		7,921,725
Intercontinental Exchange, Inc., 4.00% due 10/15/2023		A/A2		11,257,000		11,901,705
a Jackson National Life Global Funding, 3.25% due 1/30/2024		AA/A1		10,000,000		10,055,030
a Jackson National Life Global Funding, 2.20% due 1/30/2020		AA/A1		8,000,000		7,989,296
National Rural Utilities Cooperative Finance Corp., 10.375% due 11/1/2018		A/A1		2,000,000		2,264,922
S&P Global, Inc., 4.00% due 6/15/2025		NR/Baa1		8,000,000		8,222,440
S&P Global, Inc., 2.50% due 8/15/2018		NR/Baa1		2,950,000		2,973,287
S&P Global, Inc., 3.30% due 8/14/2020		NR/Baa1		2,450,000		2,502,967
						369,719,335
ENERGY — 5.58%
Energy Equipment & Services — 0.27%
b Ensco plc, 8.00% due 1/31/2024		BB/B1e		2,425,000		2,455,313
Oceaneering International, Inc., 4.65% due 11/15/2024		BBB/Baa3		10,000,000		10,066,980
a,b,f Schahin II Finance Co. (SPV) Ltd., 5.875% due 9/25/2023		NR/NR		4,082,733		469,514
Oil, Gas & Consumable Fuels — 5.31%
b BP Capital Markets plc Floating Rate Note, 1.386% due 8/14/2018		A-/A2		11,380,000		11,407,824
Buckeye Partners LP, 4.15% due 7/1/2023		BBB-/Baa3		7,000,000		7,153,335
a Chevron Phillips Chemical Co., LLC, Floating Rate Note, 1.784% due 5/1/2020		A-/A2		24,900,000		24,677,170
a,b CNPC General Capital Ltd., 2.75% due 4/19/2017		A+/A1		5,000,000		5,001,814
a,b CNPC General Capital Ltd., 2.75% due 5/14/2019		A+/A1		5,000,000		5,043,911
a,b CNPC General Capital Ltd. Floating Rate Note, 1.936% due 5/14/2017		A+/A1		5,000,000		5,001,540
a Colorado Interstate Gas Co., LLC/Colorado Interstate Issuing Corp., 4.15% due 8/15/2026		BBB-/Baa3		26,000,000		25,410,970
Energen Corp., 4.625% due 9/1/2021		BB/B2		10,000,000		9,947,000
Exxon Mobil Corp., 2.222% due 3/1/2021		AA+/Aaa		4,925,000		4,934,525
Exxon Mobil Corp. Floating Rate Note, 1.835% due 3/1/2019		AA+/Aaa		6,625,000		6,718,545
Exxon Mobil Corp. Floating Rate Note, 1.654% due 2/28/2018		AA+/Aaa		6,950,000		6,991,276
a Florida Gas Transmission Co., LLC, 3.875% due 7/15/2022		BBB/Baa2		9,000,000		9,229,104
a Florida Gas Transmission Co., LLC, 4.35% due 7/15/2025		BBB/Baa2		4,200,000		4,347,996
Gulf South Pipeline Co., LP, 4.00% due 6/15/2022		BBB-/Baa2		13,690,000		13,953,026
a Gulfstream Natural Gas System, LLC, 4.60% due 9/15/2025		BBB/Baa2		9,000,000		9,470,700
a,b Harvest Operations Corp., 2.125% due 5/14/2018		AA/Aa2		7,000,000		7,008,727
HollyFrontier Corp., 5.875% due 4/1/2026		BBB-/Baa3		25,000,000		26,542,950
Marathon Petroleum Corp., 2.70% due 12/14/2018		BBB/Baa2		8,000,000		8,068,720
a Northern Natural Gas Co., 5.75% due 7/15/2018		A/A2		50,000		52,396
a Northwest Pipeline, LLC, 4.00% due 4/1/2027		BBB/NR		10,000,000		9,996,650
NuStar Logistics LP, 4.75% due 2/1/2022		BB+/Ba1		5,000,000		4,912,500
b Petroleos Mexicanos Floating Rate Note, 3.044% due 7/18/2018		BBB+/Baa3		10,000,000		10,150,000
b Sasol Financing International plc, 4.50% due 11/14/2022		BBB/Baa2		4,000,000		4,042,000
a Semco Energy, Inc., 5.15% due 4/21/2020		A-/A2		3,000,000		3,211,107
a,b Sinopec Group Overseas Development Ltd., 2.75% due 5/17/2017		A+/Aa3		6,000,000		6,008,226
a Texas Gas Transmission, LLC, 4.50% due 2/1/2021		BBB-/Baa2		11,015,000		11,493,227
Transcontinental Gas Pipe Line Co., LLC, 7.85% due 2/1/2026		BBB/Baa2		11,000,000		14,124,473
Williams Partners LP, 3.60% due 3/15/2022		BBB/Baa3		1,800,000		1,825,880
						269,717,399
FOOD & STAPLES RETAILING — 0.40%
Food & Staples Retailing — 0.40%
Whole Foods Market, Inc., 5.20% due 12/3/2025		BBB-/Baa3		18,175,000		19,315,681
						19,315,681

Semi-Annual Reports    19

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT		VALUE
FOOD, BEVERAGE & TOBACCO — 2.33%
Beverages — 1.43%
Anheuser-Busch InBev Finance Inc., 3.30% due 2/1/2023	A-/A3	$	9,650,000	$	9,821,876
Anheuser-Busch InBev Finance Inc. Floating Rate Note, 2.294% due 2/1/2021	A-/A3		7,550,000		7,777,187
Coca Cola Enterprises, Inc., 5.71% due 3/18/2037	AA-/NR		3,380,000		3,855,117
a,b Coca Cola Icecek Uretim A.S., 4.75% due 10/1/2018	NR/Baa3		5,000,000		5,121,000
a,b JB y Compania, S.A. de C.V., 3.75% due 5/13/2025	BBB/NR		13,750,000		13,452,131
PepsiCo, Inc., 3.10% due 7/17/2022	A/A1		9,250,000		9,502,923
PepsiCo, Inc. Floating Rate Note, 1.535% due 10/6/2021	A/A1		19,230,000		19,349,072
Food Products — 0.45%
General Mills, Inc., 1.40% due 10/20/2017	BBB+/A3		4,600,000		4,602,185
Ingredion, Inc., 1.80% due 9/25/2017	BBB/Baa2		12,150,000		12,155,686
Mead Johnson Nutrition Co., 4.125% due 11/15/2025	BBB/Baa1		3,000,000		3,143,178
Mead Johnson Nutrition Co., 3.00% due 11/15/2020	BBB/Baa1		1,900,000		1,936,731
Tobacco — 0.45%
Altria Group, Inc., 2.625% due 1/14/2020	A-/A3		4,900,000		4,962,450
a,b B.A.T. International Finance plc, 2.125% due 6/7/2017	BBB+/Baa2		8,000,000		8,006,224
a,b B.A.T. International Finance plc, 3.95% due 6/15/2025	BBB+/Baa2		3,000,000		3,066,954
Reynolds American, Inc., 6.875% due 5/1/2020	BBB/Baa3		5,000,000		5,635,275
					112,387,989
HEALTH CARE EQUIPMENT & SERVICES — 1.05%
Health Care Equipment & Supplies — 0.45%
Abbott Laboratories, 2.35% due 11/22/2019	BBB/Baa3		14,825,000		14,886,450
Abbott Laboratories, 3.40% due 11/30/2023	BBB/Baa3		6,860,000		6,930,891
Health Care Providers & Services — 0.60%
Catholic Health Initiatives, 1.60% due 11/1/2017	BBB+/Baa1		1,900,000		1,898,013
Catholic Health Initiatives, 2.95% due 11/1/2022	BBB+/Baa1		7,000,000		6,768,923
UnitedHealth Group, Inc., 3.35% due 7/15/2022	A+/A3		5,000,000		5,173,165
UnitedHealth Group, Inc., 3.75% due 7/15/2025	A+/A3		5,000,000		5,221,580
Wellpoint, Inc., 2.25% due 8/15/2019	A/Baa2		10,000,000		10,036,290
					50,915,312
HOUSEHOLD & PERSONAL PRODUCTS — 0.10%
Household Products — 0.10%
Edgewell Personal Care, 4.70% due 5/24/2022	BB+/Ba2		2,000,000		2,080,000
a,b Kimberly-Clark de Mexico, 3.80% due 4/8/2024	A-/NR		3,000,000		2,982,719
					5,062,719
INSURANCE — 3.62%
Insurance — 3.62%
CNA Financial Corp., 4.50% due 3/1/2026	BBB/Baa2		20,000,000		21,137,660
a,b DaVinciRe Holdings Ltd., 4.75% due 5/1/2025	A/Baa2		10,260,000		9,922,682
b Enstar Group Ltd., 4.50% due 3/10/2022	BBB-/NR		1,950,000		1,974,539
a Forethought Financial Group, Inc., 8.625% due 4/15/2021	BBB-/Baa3		2,270,000		2,579,803
Hanover Insurance Group, Inc., 4.50% due 4/15/2026	BBB/Baa3		10,000,000		10,382,790
Horace Mann Educators Corp., 4.50% due 12/1/2025	BBB/Baa3		4,800,000		4,890,173
Infinity Property & Casualty Corp., 5.00% due 9/19/2022	BBB/Baa2		3,000,000		3,168,405
Kemper Corp., 4.35% due 2/15/2025	BBB-/Baa3		7,540,000		7,551,280
a,b Lancashire Holdings Ltd., 5.70% due 10/1/2022	BBB/Baa2		11,000,000		11,730,422
Marsh & McLennan Companies, Inc., 3.30% due 3/14/2023	A-/Baa1		3,000,000		3,055,779
a MassMutual Global Funding, LLC, 2.00% due 4/5/2017	AA+/Aa2		8,000,000		8,000,000
Mercury General Corp., 4.40% due 3/15/2027	NR/Baa2		16,000,000		15,984,352
b Montpelier Re Holdings Ltd., 4.70% due 10/15/2022	BBB+/NR		5,000,000		5,359,660
a Pricoa Global Funding I, 1.35% due 8/18/2017	AA-/A1		10,000,000		9,985,490
a Principal Life Global Funding II, 1.50% due 9/11/2017	A+/A1		6,950,000		6,949,326
a Principal Life Global Funding II, 2.375% due 9/11/2019	A+/A1		2,450,000		2,465,332
a Principal Life Global Funding II, 2.20% due 4/8/2020	A+/A1		7,000,000		6,989,640
Reinsurance Group of America, Inc., 3.95% due 9/15/2026	A-/Baa1		3,765,000		3,796,972
a Reliance Standard Life Insurance Co., 2.50% due 4/24/2019	A/A2		9,900,000		9,965,548
a Reliance Standard Life Insurance Co., 2.50% due 1/15/2020	A/A2		15,000,000		14,991,780
a Reliance Standard Life Insurance Co., 3.05% due 1/20/2021	A/A2		3,975,000		4,008,060
b Trinity Acquisition plc, 4.40% due 3/15/2026	BBB/Baa3		9,815,000		10,060,571
					174,950,264

20    Semi-Annual Reports

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT			VALUE
MATERIALS — 1.27%
Chemicals — 0.50%
Airgas, Inc., 3.05% due 8/1/2020	A-/A3			$	4,950,000		$	5,085,254
a Incitec Pivot Finance, LLC, 6.00% due 12/10/2019	BBB/Baa3				4,538,000			4,880,179
a,b Office Cherifien des Phosphates, 5.625% due 4/25/2024	BBB-/NR				8,555,000			9,108,508
a,b Yara International ASA, 3.80% due 6/6/2026	BBB/Baa2				5,000,000			4,923,540
Construction Materials — 0.01%
CRH America, Inc., 8.125% due 7/15/2018	BBB+/Baa2				650,000			701,034
Metals & Mining — 0.76%
a,b Anglo American Capital plc, 2.625% due 9/27/2017	BB+/Ba1				9,700,000			9,700,000
b Anglogold Holdings plc, 5.375% due 4/15/2020	BB+/Baa3				9,100,000			9,577,750
b Anglogold Holdings plc, 5.125% due 8/1/2022	BB+/Baa3				6,500,000			6,693,050
a,b Newcrest Finance Property Ltd., 4.20% due 10/1/2022	BBB-/Baa3				10,459,000			10,743,506
								61,412,821
MEDIA — 0.11%
Media — 0.11%
The Washington Post Co., 7.25% due 2/1/2019	BB+/Ba1				5,000,000			5,412,500
								5,412,500
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 1.00%
Biotechnology — 0.40%
Biogen, Inc., 3.625% due 9/15/2022	A-/Baa1				5,000,000			5,156,960
Gilead Sciences, Inc., 2.55% due 9/1/2020	A/A3				4,820,000			4,871,902
Gilead Sciences, Inc., 3.25% due 9/1/2022	A/A3				4,650,000			4,750,035
Gilead Sciences, Inc., 2.50% due 9/1/2023	A/A3				4,695,000			4,542,436
Pharmaceuticals — 0.60%
b Actavis Funding SCS, 2.35% due 3/12/2018	BBB/Baa3				1,720,000			1,727,499
b Actavis Funding SCS, 3.45% due 3/15/2022	BBB/Baa3				5,000,000			5,105,390
b Actavis Funding SCS, 3.80% due 3/15/2025	BBB/Baa3				5,000,000			5,045,615
b Actavis Funding SCS Floating Rate Note, 2.375% due 3/12/2020	BBB/Baa3				5,000,000			5,110,965
a Bayer U.S. Finance, LLC, 1.50% due 10/6/2017	A-/A3				1,975,000			1,973,363
b Mylan N.V., 3.00% due 12/15/2018	BBB-/Baa3				4,900,000			4,956,870
Zoetis, Inc., 3.45% due 11/13/2020	BBB/Baa2				2,000,000			2,048,480
Zoetis, Inc., 4.50% due 11/13/2025	BBB/Baa2				3,000,000			3,231,444
								48,520,959
REAL ESTATE — 1.15%
Equity Real Estate Investment Trusts — 0.88%
Alexandria Real Estate Equities, Inc., 3.95% due 1/15/2027	BBB/Baa2				3,975,000			3,973,621
Alexandria Real Estate Equities, Inc., 3.90% due 6/15/2023	BBB/Baa2				11,700,000			11,973,803
EPR Properties, 5.25% due 7/15/2023	BBB-/Baa2				4,041,000			4,238,294
Hospitality Properties Trust, 4.95% due 2/15/2027	BBB-/Baa2				2,000,000			2,053,628
Washington REIT, 4.95% due 10/1/2020	BBB/Baa2				19,100,000			20,231,236
Real Estate Management & Development — 0.27%
Jones Lang LaSalle, Inc., 4.40% due 11/15/2022	BBB+/Baa2				3,000,000			3,128,727
a,b Vonovia Finance B.V., 3.20% due 10/2/2017	BBB+/NR				10,000,000			10,056,870
								55,656,179
RETAILING — 0.41%
Multiline Retail — 0.41%
Family Dollar Stores, Inc., 5.00% due 2/1/2021	BBB-/Baa3				18,475,000			19,694,350
								19,694,350
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.66%
Semiconductors & Semiconductor Equipment — 0.66%
a Broadcom Corp./Broadcom Cayman Finance Ltd., 2.375% due 1/15/2020	BBB-/Baa2				8,875,000			8,873,926
a Broadcom Corp./Broadcom Cayman Finance Ltd., 3.00% due 1/15/2022	BBB-/Baa2				9,000,000			8,988,534
a Broadcom Corp./Broadcom Cayman Finance Ltd., 3.625% due 1/15/2024	BBB-/Baa2				9,000,000			9,066,330
Intel Corp., 3.10% due 7/29/2022	A+/A1	��			5,000,000			5,138,860
								32,067,650

Semi-Annual Reports    21

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT			VALUE
SOFTWARE & SERVICES — 2.82%
Information Technology Services — 1.07%
Broadridge Financial Solutions, Inc., 3.95% due 9/1/2020	BBB+/Baa1		$	8,000,000		$	8,376,336
Fidelity National Information Services, Inc., 2.85% due 10/15/2018	BBB/Baa3			4,850,000			4,916,964
Fiserv, Inc., 2.70% due 6/1/2020	BBB/Baa2			6,900,000			6,978,074
SAIC, Inc., 4.45% due 12/1/2020	BBB-/Ba1			2,000,000			2,080,000
Total System Services, Inc., 3.75% due 6/1/2023	BBB-/Baa3			5,000,000			5,017,915
Total System Services, Inc., 3.80% due 4/1/2021	BBB-/Baa3			3,000,000			3,103,590
Total System Services, Inc., 2.375% due 6/1/2018	BBB-/Baa3			20,915,000			21,002,090
Internet Software & Services — 0.38%
eBay, Inc., 2.50% due 3/9/2018	BBB+/Baa1			4,885,000			4,922,136
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc., 5.75% due 4/15/2023	BBB/Baa3			8,175,000			8,563,157
a,b Tencent Holdings Ltd., 2.00% due 5/2/2017	A/A2			5,000,000			5,000,741
Software — 1.37%
Autodesk, Inc., 3.125% due 6/15/2020	BBB/Baa2			1,945,000			1,982,535
Autodesk, Inc., 4.375% due 6/15/2025	BBB/Baa2			1,000,000			1,030,473
CA Technologies, Inc., 3.60% due 8/1/2020	BBB+/Baa2			13,905,000			14,332,078
CA Technologies, Inc., 2.875% due 8/15/2018	BBB+/Baa2			4,082,000			4,135,907
CA, Inc., 3.60% due 8/15/2022	BBB+/Baa2e			3,000,000			3,044,109
CDK Global, Inc., 3.80% due 10/15/2019	BB+/Ba1			5,000,000			5,097,000
Microsoft Corp., 2.875% due 2/6/2024	AAA/Aaa			9,216,000			9,275,213
Oracle Corp., 2.50% due 5/15/2022	AA-/A1			4,400,000			4,387,807
Oracle Corp., 1.90% due 9/15/2021	AA-/A1			11,825,000			11,619,481
Oracle Corp., 2.40% due 9/15/2023	AA-/A1			11,650,000			11,340,215
							136,205,821
TECHNOLOGY HARDWARE & EQUIPMENT — 2.33%
Communications Equipment — 0.97%
Cisco Systems, Inc. Floating Rate Note, 1.652% due 2/21/2018	AA-/A1			9,850,000			9,903,751
Juniper Networks, Inc., 3.30% due 6/15/2020	BBB/Baa2			4,825,000			4,935,102
Juniper Networks, Inc., 3.125% due 2/26/2019	BBB/Baa2			10,000,000			10,187,870
b LM Ericsson, 4.125% due 5/15/2022	BBB-/Baa3			21,215,000			21,648,847
Computers & Peripherals — 0.11%
Lexmark International, Inc., 6.125% due 3/15/2020	BB/Ba2			5,375,000			5,571,773
Electronic Equipment, Instruments & Components — 0.60%
Ingram Micro, Inc., 5.45% due 12/15/2024	NR/Ba1			5,596,000			5,506,296
Tech Data Corp., 4.95% due 2/15/2027	BBB-/Baa3			6,000,000			6,056,724
Trimble Navigation, Ltd., 4.75% due 12/1/2024	BBB-/Baa2			17,000,000			17,594,133
Technology, Hardware, Storage & Peripherals — 0.65%
Apple, Inc. Floating Rate Note, 1.873% due 2/22/2019	AA+/Aa1			4,950,000			5,024,993
Apple, Inc. Floating Rate Note, 2.183% due 2/23/2021	AA+/Aa1			9,050,000			9,339,917
Apple, Inc. Floating Rate Note, 1.538% due 2/9/2022	AA+/Aa1			11,975,000			12,071,602
Hewlett Packard Enterprise Co. Floating Rate Note, 2.929% due 10/5/2018	BBB/Baa2			4,900,000			5,000,063
							112,841,071
TELECOMMUNICATION SERVICES — 2.58%
Diversified Telecommunication Services — 1.75%
AT&T, Inc., 1.962% due 11/27/2018	BBB+/Baa1			11,350,000			11,453,694
AT&T, Inc., 2.082% due 6/30/2020	BBB+/Baa1			4,950,000			5,007,841
AT&T, Inc., 3.60% due 2/17/2023	BBB+/Baa1			8,000,000			8,102,408
AT&T, Inc., 4.45% due 4/1/2024	BBB+/Baa1			10,000,000			10,480,140
AT&T, Inc., 3.00% due 6/30/2022	BBB+/Baa1			4,500,000			4,476,577
Michigan Bell Telephone Co., 7.85% due 1/15/2022	BBB+/NR			3,000,000			3,596,679
Qwest Corp., 6.75% due 12/1/2021	BBB-/Ba1			3,000,000			3,288,744
Verizon Communications, Inc., 4.125% due 3/16/2027	BBB+/Baa1			7,000,000			7,118,587
Verizon Communications, Inc., 3.45% due 3/15/2021	BBB+/Baa1			9,600,000			9,860,294
Verizon Communications, Inc., 3.50% due 11/1/2024	BBB+/Baa1			4,683,000			4,643,644
Verizon Communications, Inc. Floating Rate Note, 2.137% due 3/16/2022	NR/NR			7,500,000			7,568,220
Verizon Communications, Inc. Floating Rate Note, 2.871% due 9/14/2018	BBB+/Baa1			1,825,000			1,863,635
Verizon Communications, Inc. Floating Rate Note, 1.918% due 6/17/2019	BBB+/Baa1			6,970,000			7,019,766

22    Semi-Annual Reports

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S	PRINCIPAL AMOUNT			VALUE
Wireless Telecommunication Services — 0.83%
a Crown Castle Towers, LLC, 6.113% due 1/15/2040	NR/A2		$	6,970,000		$	7,546,860
b Telefonica Emisiones S.A.U., 4.103% due 3/8/2027	BBB/Baa3			8,500,000			8,559,985
b Vodafone Group plc, 1.25% due 9/26/2017	BBB+/Baa1			24,245,000			24,224,125
							124,811,199
TRANSPORTATION — 1.47%
Air Freight & Logistics — 0.01%
a FedEx Corp. 2012 Pass-Through Trust, 2.625% due 1/15/2018	BBB/Baa1			286,478			286,180
Airlines — 0.43%
American Airlines Group, Inc., 4.95% due 7/15/2024	A/NR			5,695,123			6,057,503
American Airlines Group, Inc., 3.60% due 3/22/2029	AA/Aa3			9,526,629			9,579,026
US Airways, 6.25% due 10/22/2024	A+/A3			4,845,326			5,281,405
Road & Rail — 0.95%
a,b Asciano Finance Ltd., 5.00% due 4/7/2018	BBB-/Baa3			2,000,000			2,047,688
a BNSF Railway Co., 3.442% due 6/16/2028	AA/Aa2			14,153,711			14,173,617
a,b LeasePlan Corp. NV, 2.50% due 5/16/2018	BBB-/Baa1			10,000,000			10,024,850
a Penske Truck Leasing Co., LP/PTL Finance Corp., 4.25% due 1/17/2023	BBB/Baa2			5,000,000			5,209,070
a TTX Co., 4.15% due 1/15/2024	A/Baa1			6,000,000			6,290,154
a TTX Co., 5.453% due 1/2/2022	NR/NR			3,271,821			3,396,118
a TTX Co., 2.25% due 2/1/2019	A/Baa1			5,000,000			5,002,295
Transportation Infrastructure — 0.08%
a,b Mexico City Airport Trust, 4.25% due 10/31/2026	BBB+/Baa1			3,750,000			3,801,563
							71,149,469
UTILITIES — 5.84%
Electric Utilities — 4.77%
Appalachian Power Co., 3.40% due 6/1/2025	A-/Baa1			7,000,000			7,077,035
Cleveland Electric Illuminating Co., 7.88% due 11/1/2017	BBB+/Baa1			15,359,000			15,894,123
Duke Energy Corp. Floating Rate Note, 1.378% due 4/3/2017	BBB+/NR			39,371,000			39,371,000
Duke Energy Florida Project Finance, LLC, 1.196% due 3/1/2022	AAA/Aaa			17,910,000			17,800,695
a,b Electricite de France S.A., 2.15% due 1/22/2019	A-/A3			4,900,000			4,905,635
a,b Enel Finance International S.A., 6.25% due 9/15/2017	BBB/Baa2			15,889,000			16,207,384
Entergy Louisiana, LLC, 4.80% due 5/1/2021	A/A2			4,300,000			4,606,642
Entergy Texas, Inc., 7.125% due 2/1/2019	A/Baa1			2,000,000			2,173,620
Exelon Corp., 1.55% due 6/9/2017	BBB-/Baa2			2,950,000			2,950,089
Exelon Corp., 2.85% due 6/15/2020	BBB-/Baa2			2,950,000			2,988,675
a Jersey Central Power & Light Co., 4.30% due 1/15/2026	BBB-/Baa2			15,000,000			15,604,785
a,b Korea Western Power Co., Ltd., 2.875% due 10/10/2018	NR/Aa2			10,000,000			10,113,096
a Monongahela Power Co., 4.10% due 4/15/2024	BBB+/A3			8,000,000			8,389,256
NextEra Energy Capital Holdings, Inc., 1.586% due 6/1/2017	BBB+/Baa1			6,715,000			6,716,786
Northern States Power Company-Wisconsin, 3.30% due 6/15/2024	A/Aa3			10,000,000			10,132,370
Public Service Co. of New Mexico, 5.35% due 10/1/2021	BBB+/Baa2			3,000,000			3,246,990
a Rochester Gas & Electric, 5.90% due 7/15/2019	A/A2			11,732,000			12,658,159
Southern Power Co., 2.375% due 6/1/2020	BBB+/Baa1			9,793,000			9,792,128
Southern Power Co., 1.85% due 12/1/2017	BBB+/Baa1			5,000,000			5,004,920
a,b State Grid Overseas Investment (2014) Ltd., 2.75% due 5/7/2019	AA-/Aa3			9,000,000			9,107,809
a Steelriver Transmission Co., LLC, 4.71% due 6/30/2017	NR/Baa1			2,823,230			2,823,207
The Southern Co., 2.45% due 9/1/2018	BBB+/Baa2			4,825,000			4,865,491
Toledo Edison Co., 7.25% due 5/1/2020	BBB+/Baa1			167,000			181,985
a,b Transelec S.A., 4.25% due 1/14/2025	BBB/Baa1			6,000,000			6,128,613
UIL Holdings Corp., 4.625% due 10/1/2020	BBB/Baa1			11,660,000			12,030,158
Gas Utilities — 0.26%
AGL Capital Corp., 3.50% due 9/15/2021	A-/Baa1			9,925,000			10,232,804
Spire, Inc., 2.55% due 8/15/2019	BBB+/Baa2			2,350,000			2,364,365
Independent Power & Renewable Electricity Producers — 0.13%
a Midland Cogeneration Venture, 6.00% due 3/15/2025	BBB-/NR			5,987,152			6,357,793
Multi-Utilities — 0.68%
Dominion Gas Holdings, LLC, 2.50% due 12/15/2019	BBB+/A2			3,900,000			3,943,688
Dominion Gas Holdings, LLC, 2.80% due 11/15/2020	BBB+/A2			5,000,000			5,061,795
a Enable Oklahoma Intrastate Transmission, LLC, 6.25% due 3/15/2020	BB+/Baa3			3,640,000			3,891,276

Semi-Annual Reports    23

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
a,b Korea Hydro & Nuclear Power Co. Ltd., 2.875% due 10/2/2018		AA/Aa2	$	7,000,000	$	7,075,968
a Niagara Mohawk Power Corp., 4.881% due 8/15/2019		A-/A2		10,000,000		10,668,680
SCANA Corp., 4.125% due 2/1/2022		BBB/Baa3		2,000,000		2,026,960
						282,393,980
TOTAL CORPORATE BONDS (Cost $2,269,749,436)						2,305,749,780
CONVERTIBLE BONDS — 0.42%
REAL ESTATE — 0.42%
Equity Real Estate Investment Trusts — 0.42%
a IAS Operating Partnership LP, 5.00% due 3/15/2018		NR/NR		19,950,000		20,124,562
TOTAL CONVERTIBLE BONDS (Cost $19,950,000)						20,124,562
MUNICIPAL BONDS — 2.39%
American Municipal Power Ohio, Inc., 5.072% due 2/15/2018 (Meldahl Hydroelectric)		A/A3		5,000,000		5,125,000
Anaheim California Public Financing Authority, 5.316% due 9/1/2017 (Anaheim Public Improvements; Insured: Natl-Re/FGIC)		AA-/A1		520,000		526,947
Anaheim California Public Financing Authority, 5.486% due 9/1/2020 (Anaheim Public Improvements; Insured: Natl-Re)		AA-/A1		3,270,000		3,422,349
Brentwood California Infrastructure Financing Authority, 6.16% due 10/1/2019 (Civic Center)		AA/NR		2,110,000		2,222,547
California HFFA, 6.76% due 2/1/2019 (Community Program for Persons with Developmental Disabilities)		AA-/NR		3,905,000		4,112,551
California School Finance Authority, 5.041% due 7/1/2020 (LOC: City National Bank)		AA+/NR		4,000,000		4,313,280
Camden County Improvement Authority, 5.47% due 7/1/2018 (Cooper Medical School of Rowan University)		A/A2		2,140,000		2,226,007
Camden County Improvement Authority, 5.62% due 7/1/2019 (Cooper Medical School of Rowan University)		A/A2		3,025,000		3,223,259
City and County of San Francisco Redevelopment Financing Authority, 8.00% due 8/1/2019 (San Francisco Redevelopment Projects)		AA-/A2		6,500,000		7,047,040
City of Fort Collins Colorado Electric Utility Enterprise, 4.92% due 12/1/2020 (Fort Collins Smart Grid)		AA-/NR		2,250,000		2,351,205
City of Riverside California, 5.61% due 8/1/2017 (City Sewer System)		A+/A1		2,000,000		2,027,560
Connecticut Housing Finance Authority, 5.071% due 11/15/2019 (Housing Mtg Finance Program)		AAA/Aaa		1,585,000		1,620,932
Denver Public Schools COP, 2.018% due 12/15/2019 (School District No. 1 Educational Facilities)		NR/Aa3		3,000,000		3,007,500
JobsOhio Beverage System, 2.217% due 1/1/2019 (State Liquor Enterprise)		AA/Aa3		11,245,000		11,393,434
Kentucky Asset/Liability Commission, 2.099% due 4/1/2019 (Commonwealth of Kentucky and Teachers’ Retirement System Funding Obligations)		A/Aa3		3,000,000		3,018,750
Los Angeles County Public Works Financing Authority, 5.591% due 8/1/2020 (Los Angeles County & USC Medical Center Projects)		AA/Aa3		3,000,000		3,312,060
Louisiana Local Government Environmental Facilities and Community Development Authority, 1.66% due 2/1/2022 (Louisiana Utilities Restoration)		AAA/Aaa		4,590,287		4,578,077
Municipal Improvement Corp. of Los Angeles, 6.165% due 11/1/2020 (Recovery Zone Economic Development)		A+/Aa3		11,885,000		13,060,545
New York City Transitional Finance Authority, 4.075% due 11/1/2020 (World Trade Center Recovery)		AAA/Aa1		2,500,000		2,682,300
Oklahoma Development Finance Authority, 8.00% due 5/1/2020 (Cleveland County Industrial Authority (CCIA) - Hitachi Norman, Oklahoma Project)		NR/NR		3,355,000		3,382,175
Orleans Parish School Board GO, 4.40% due 2/1/2021 (Educational Facilities Improvements; Insured: AGM)		AA/A2		10,000,000		10,718,400
Redevelopment Agency of the City of Redlands, 5.818% due 8/1/2022 (Redlands Redevelopment; Insured: AMBAC) (ETM)		NR/NR		1,495,000		1,621,492
Redevelopment Agency of the County of San Bernardino, 7.135% due 9/1/2020 (San Sevaine Redevelopment Project)		BBB/NR		1,045,000		1,098,264
Rutgers State University GO, 2.342% due 5/1/2019 (New Brunswick, Newark and Camden Campus Facilities)		A+/Aa3		3,485,000		3,506,363
Rutgers State University GO, 3.028% due 5/1/2021 (New Brunswick, Newark and Camden Campus Facilities)		A+/Aa3		1,500,000		1,510,305
Sandoval County, New Mexico, 1.452% due 6/1/2017		A+/NR		1,000,000		1,000,370
Tampa-Hillsborough County Florida Expressway Authority, 2.22% due 7/1/2018 (Electronic Tolling Program)		A/A2		2,000,000		2,002,680
Tampa-Hillsborough County Florida Expressway Authority, 2.49% due 7/1/2019 (Electronic Tolling Program)		A/A2		2,500,000		2,503,775
Tampa-Hillsborough County Florida Expressway Authority, 2.84% due 7/1/2020 (Electronic Tolling Program)		A/A2		1,750,000		1,754,830
Wallenpaupack Area School District GO, 3.80% due 9/1/2019 (Pike and Wayne Counties Educational Facilities) (State Aid Withholding)		AA/NR		3,000,000		3,108,690
Wallenpaupack Area School District GO, 4.00% due 9/1/2020 (Pike and Wayne Counties Educational Facilities) (State Aid Withholding)		AA/NR		2,750,000		2,879,003
Yuba Levee Financing Authority, 6.375% due 9/1/2021 (pre-refunded 9/1/2017) (Yuba County Levee Financing Project)		AA/NR		1,000,000		1,021,900
TOTAL MUNICIPAL BONDS (Cost $110,623,516)						115,379,590
SHORT TERM INVESTMENTS — 9.62%
Bank of New York Tri-Party Repurchase Agreement 1.11% dated 3/31/2017 due 4/3/2017, repurchase price $125,011,563 collateralized by 71 corporate debt securities, having an average coupon of 3.98%, a minimum credit rating of BBB-, maturity dates from 6/24/2018 to 8/8/2056, and having an aggregate market value of $133,780,848 at 3/31/2017		NR/NR		125,000,000		125,000,000
a Canadian National Railway, 0.85% due 4/12/2017		NR/NR		5,000,000		4,998,701
a Cintas Executive, 1.15% due 4/6/2017		NR/NR		22,000,000		21,996,486
Farmer Mac Discount Note, 0.50% due 4/3/2017		NR/NR		20,000,000		19,999,445
Federal Home Loan Discount Note, 0.65% due 4/10/2017		NR/NR		3,000,000		2,999,513
Federal Home Loan Discount Note, 0.30% due 4/3/2017		NR/NR		57,000,000		56,998,675

24    Semi-Annual Reports

Schedule of Investments, Continued
Thornburg Limited Term Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/ MOODY’S		PRINCIPAL AMOUNT		VALUE
Florida Power & Light Co., 1.00% due 4/4/2017		NR/NR	$	4,000,000	$	3,999,667
a Intercontinental Exchange, 0.86% due 4/3/2017		NR/NR		11,000,000		10,999,474
a KCP&L Greater Missouri Operations Co., 1.15% due 4/7/2017		NR/NR		22,000,000		21,995,783
a Kentucky Utilities Co., 1.13% due 4/5/2017		NR/NR		15,000,000		14,998,117
a Kentucky Utilities Co., 1.13% due 4/6/2017		NR/NR		5,000,000		4,999,215
a Louisville Gas & Electric Co., 1.13% due 4/6/2017		NR/NR		15,000,000		14,997,688
a Louisville Gas & Electric Co., 1.13% due 4/10/2017		NR/NR		8,000,000		7,997,740
a McCormick & Company Inc., 0.95% due 4/3/2017		NR/NR		22,000,000		21,998,839
a Reckitt Benckiser Co., 0.95% due 4/3/2017		NR/NR		5,090,000		5,089,731
a Rockwell Automation, Inc., 0.97% due 4/7/2017		NR/NR		22,000,000		21,996,443
a The Home Depot Inc., 0.77% due 4/7/2017		NR/NR		22,000,000		21,997,177
a United Parcel Service, Inc., 0.73% due 4/6/2017		NR/NR		22,000,000		21,997,769
United States Treasury Bill, 0.431% due 4/6/2017		NR/NR		23,000,000		22,998,623
United States Treasury Bill, 0.69% due 4/13/2017		NR/NR		36,800,000		36,791,536
TOTAL SHORT TERM INVESTMENTS (Cost $464,850,622)						464,850,622
TOTAL INVESTMENTS — 99.77% (Cost $4,789,511,110)					$	4,823,137,436
OTHER ASSETS LESS LIABILITIES — 0.23%						10,934,902
NET ASSETS — 100.00%					$	4,834,072,338

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.

a Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2017, the aggregate value of these securities in the Fund’s portfolio was $1,830,590,878, representing 37.87% of the Fund’s net assets.

b Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations.

c Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee.

d When-issued security.

e Segregated as collateral for a when-issued security.

f Bond in default.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

AGM	Insured by Assured Guaranty Municipal Corp.
AMBAC	Insured by American Municipal Bond Assurance Corp.
CMO	Collateralized Mortgage Obligation
COP	Certificates of Participation
ETM	Escrowed to Maturity
FGIC	Insured by Financial Guaranty Insurance Co.
GO	General Obligation
HFFA	Health Facilities Financing Authority

Mtg	Mortgage
Natl-Re	Insured by National Public Finance Guarantee Corp.
REIT	Real Estate Investment Trust
REMIC	Real Estate Mortgage Investment Conduit
SBA	Small Business Administration
SPV	Special Purpose Vehicle
VA	Veterans Affairs

See notes to financial statements.

Semi-Annual Reports    25

Fund Summary
Thornburg Low Duration Income Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund’s objective is to seek current income, consistent with preservation of capital.

The Fund invests in debt obligations issued by the U.S. Government, its agencies, or its instrumentalities, and in debt obligations rated at the time of purchase in one of the four highest credit ratings categories or, if no credit rating is available, judged to be of comparable quality by the Fund’s advisor. The Fund aims to reduce changes in its share value compared to longer duration fixed income portfolios by maintaining a laddered portfolio of investments with a dollar-weighted average duration of normally no more than three years.

LONG-TERM STABILITY OF PRINCIPAL

Net Asset Value History of A Shares

KEY PORTFOLIO ATTRIBUTES

Number of Bonds	182
Effective Duration	1.2 Yrs
Average Maturity	2.0 Yrs

SECURITY CREDIT RATINGS

Credit quality ratings for Thornburg’s global fixed income portfolios used ratings from Moody’s Investors Service. Where Moody’s ratings are not available, we have used Standard & Poor’s ratings. Where neither rating is available, we have used ratings from other nationally recognized statistical rating organizations (NRSROs).

PORTFOLIO LADDER

Percent of portfolio maturing in each year. Cash includes cash equivalents.

There is no guarantee that the Fund will meet its investment objective.

All data is subject to change. Charts may not add up to 100% due to rounding.

26    Semi-Annual Reports

Schedule of Investments
Thornburg Low Duration Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/MOODY’S		PRINCIPAL AMOUNT		VALUE
U.S. TREASURY SECURITIES — 8.75%
United States Treasury Notes, 0.875% due 6/15/2017		NR/Aaa	$	100,000	$	100,017
United States Treasury Notes, 0.625% due 8/31/2017		NR/Aaa		200,000		199,806
United States Treasury Notes, 0.75% due 12/31/2017		NR/Aaa		400,000		399,203
United States Treasury Notes, 0.125% due 4/15/2019		NR/Aaa		233,136		236,503
United States Treasury Notes, 0.125% due 4/15/2021		NR/Aaa		358,547		362,380
United States Treasury Notes Inflationary Index, 0.125% due 4/15/2020		NR/Aaa		388,793		394,605
TOTAL U.S. TREASURY SECURITIES (Cost $1,682,944)						1,692,514
U.S. GOVERNMENT AGENCIES — 3.64%
Export Leasing (2009), LLC, (Guaranty: Export-Import Bank of the United States), 1.859% due 8/28/2021		NR/NR		59,186		58,841
a Micron Semiconductor Ltd., (Guaranty: Export-Import Bank of the United States), 1.258% due 1/15/2019		NR/NR		200,000		198,645
a Petroleos Mexicanos Floating Rate Note, (Guaranty: Export-Import Bank of the United States), 1.373% due 4/15/2025		NR/NR		82,500		81,420
a Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 1.70% due 12/20/2022		NR/NR		60,000		59,092
a Reliance Industries Ltd., (Guaranty: Export-Import Bank of the United States), 1.87% due 1/15/2026		NR/NR		118,421		115,402
Small Business Administration Participation Certificates, Series 2005-20K Class 1, 5.36% due 11/1/2025		NR/NR		32,077		34,199
a Washington Aircraft 2 Co. Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of the United States), 1.583% due 6/26/2024		NR/NR		159,540		157,205
TOTAL U.S. GOVERNMENT AGENCIES (Cost $711,434)						704,804
MORTGAGE BACKED — 3.73%
Federal Home Loan Mtg Corp., CMO Series K716 Class A1, 2.413% due 8/25/2047		NR/Aaa		72,272		73,149
Federal Home Loan Mtg Corp., Multi-Family Structured Pass Through, Series K710 Class A2, 1.883% due 5/25/2019		NR/NR		275,000		275,461
Federal Home Loan Mtg Corp., Pool G15523, 2.50% due 8/1/2025		NR/NR		148,502		150,816
Federal Home Loan Mtg Corp., Series 2586 Class AF, 5.00% due 3/15/2018		NR/NR		124,246		125,663
Federal National Mtg Assoc. Pool AS3705, 2.50% due 11/1/2024		NR/NR		93,957		95,201
TOTAL MORTGAGE BACKED (Cost $724,466)						720,290
ASSET BACKED SECURITIES — 29.80%
ADVANCE RECEIVABLES — 1.16%
b New Residential Advance Receivables Trust, Series 2016-T2 Class AT2, 2.575% due 10/15/2049		AAA/NR		100,000		98,937
b SPS Servicer Advance Receivables Trust, Series 2015-T3 Class AT3, 2.92% due 7/15/2047		NR/NR		125,000		125,192
						224,129
AUTO RECEIVABLES — 6.32%
Ally Auto Receivables Trust, Series 15-1 Class A3, 1.39% due 9/16/2019		AAA/Aaa		133,765		133,761
Ally Auto Receivables Trust, Series 15-2 Class A3, 1.49% due 11/15/2019		AAA/Aaa		95,521		95,543
b Avis Budget Rental Car Funding AESOP, LLC, Series 2012-3A Class A, 2.10% due 3/20/2019		NR/Aaa		100,000		100,269
Capital Auto Receivables Asset Trust, Series 2016-3 Class A2A, 1.36% due 4/22/2019		AAA/Aaa		86,170		86,159
b Chesapeake Funding II, LLC, Series 2016-1A Class A1, 2.11% due 3/15/2028		NR/Aaa		192,127		192,260
b Drive Auto Receivables Trust, Series 2017-AA Class B, 2.51% due 1/15/2021		AA/Aa1		125,000		125,229
b Ford Credit Auto Owner Trust, Series 2015-1 Class A, 2.12% due 7/15/2026		AAA/NR		100,000		100,255
b Foursight Capital Automobile Receivables Trust, Series 2016-1 Class A2, 2.87% due 10/15/2021		A/NR		87,105		87,439
b GM Financial Automobile Leasing Trust, Series 2014-2A Class A4, 1.62% due 2/20/2018		NR/Aaa		100,000		100,041
Nissan Auto Receivables Owner Trust, Series 2016-B Class A2B Floating Rate Note, 1.212% due 4/15/2019		NR/Aaa		80,215		80,310
b OSCAR US Funding Trust, Series 2014-1A Class A3, 1.72% due 4/15/2019		AAA/Aaa		51,070		50,783
b,c OSCAR US Funding Trust, Series 2016-2A Class A3, 2.73% due 12/15/2020		AAA/Aaa		70,000		69,790
						1,221,839
COMMERCIAL MTG TRUST — 2.84%
b Barclays Commercial Mortgage Securities, LLC, Series 2015-STP Class A, 3.323% due 9/10/2028		AAA/NR		99,677		102,242
COMM Mortgage Trust, Series 2016-DC2 Class A1, 1.82% due 2/10/2049		NR/Aaa		113,243		113,173
b DBUBS Mortgage Trust CMO, Series 2011-LC2A Class A1FL, 2.208% due 7/12/2044		NR/Aaa		40,836		41,086
b FREMF Mortgage Trust, Series 2013-KF02 Class B Floating Rate Note, 3.778% due 12/25/2045		NR/Baa3		19,945		20,167
b JPMorgan Chase Commercial Mortgage, Series 2014-BXH Class A Floating Rate Note, 1.812% due 4/15/2027		AAA/NR		92,075		92,129
Morgan Stanley BAML Trust, Series 2012-C6 Class A2, 1.868% due 11/15/2045		NR/Aaa		74,142		74,198
b Morgan Stanley Re-REMIC Trust, Series 2009-GG10 Class A4A, 5.949% due 8/12/2045		NR/Aaa		11,026		11,026
WFRBS Commercial Mortgage Trust, Series 2014-C22 Class A1, 1.479% due 9/15/2057		NR/Aaa		96,377		95,993
						550,014
CREDIT CARD — 2.90%
Barclays Dryrock Issuance Trust, Series 2015-4 Class A, 1.72% due 8/16/2021		AAA/NR		100,000		100,029
Barclays Dryrock Issuance Trust, Series 2016-1 Class A, 1.52% due 5/16/2022		AAA/NR		135,000		133,896
b Cabela’s Master Credit Card Trust, Series 2013-2A Class A1, 2.17% due 8/16/2021		AAA/NR		150,000		150,819

Semi-Annual Reports    27

Schedule of Investments, Continued
Thornburg Low Duration Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/MOODY’S	PRINCIPAL AMOUNT		VALUE
Cabela’s Master Credit Card Trust, Series 2015-1A Class A2 Floating Rate Note, 1.452% due 3/15/2023	AAA/NR	$	75,000	$	75,420
Synchrony Credit Card Master Note Trust, Series 2014-1 Class A, 1.61% due 11/15/2020	AAA/Aaa		100,000		100,145
					560,309
OTHER ASSET BACKED — 10.50%
b Alterna Funding I, LLC, Series 2014-1A, 1.639% due 2/15/2021	NR/NR		23,623		23,150
b AMSR Trust, Series 2016-SFR1 Class A Floating Rate Note, 2.343% due 11/17/2033	NR/Aaa		100,000		100,436
b BCC Funding Corp., Series 2016-1 Class A1, 1.10% due 9/20/2017	NR/NR		40,121		40,087
b CLI Funding, LLC, Series 2014-1A Class A, 3.29% due 6/18/2029	A/NR		72,534		69,580
b Dell Equipment Finance Trust, Series 2015-2 Class A3, 1.72% due 9/22/2020	AAA/Aaa		125,000		125,240
b Diamond Resorts Owner Trust, Series 2014-1 Class A, 2.54% due 5/20/2027	A+/NR		110,543		110,533
b Dominos Pizza Master Issuer, LLC, Series 2012-1A Class A2, 5.216% due 1/25/2042	BBB+/Baa1		144,484		147,201
b Engs Commercial Finance Trust, Series 2016-1A Class A1, 1.25% due 11/22/2017	NR/NR		39,483		39,488
b Enterprise Fleet Financing LLC, Series 2016-2 Class A1, 0.85% due 7/20/2017	A-1+/NR		29,598		29,592
GE Dealer Floorplan Master Note Trust, Series 2012-2 Class A Floating Rate Note, 1.728% due 4/22/2019	NR/Aaa		100,000		100,025
b GTP Acquisition Partners I, LLC, Series 2015-1 Class A, 2.35% due 6/15/2045	NR/Aaa		100,000		98,718
Harley-Davidson Motorcycle Trust, Series 2015-2 Class A4, 1.66% due 12/15/2022	AAA/Aaa		100,000		99,840
b Hertz Fleet Lease Funding LP, Series 2016-1 Class A1 Floating Rate Note, 1.958% due 4/10/2030	NR/Aaa		200,000		200,897
MVW Owner Trust, Series 2013-1X Class A, 2.15% due 4/22/2030	A+/NR		32,036		31,921
b OnDeck Asset Securitization Trust II, LLC, Series 2016-1A Class A, 4.21% due 5/17/2020	BBB+/NR		100,000		99,416
b OneMain Financial Issuance Trust, Series 2016-2A Class A, 4.10% due 3/20/2028	A+/NR		100,000		102,436
b PFS Financing Corp., Series 2015-AA Class A Floating Rate Note, 1.532% due 4/15/2020	AAA/Aaa		100,000		99,968
b PFS Tax Lien Trust, Series 2014-1, 1.44% due 5/15/2029	AAA/NR		22,455		22,311
b SBA Tower Trust, Series 2012-1 Class C, 2.933% due 12/9/2042	NR/A2		100,000		100,049
b SBA Tower Trust, Series 2014-1A Class C, 2.898% due 10/15/2044	NR/A2		100,000		100,311
b Sierra Receivables Funding Co., LLC, Series 2014-1A Class A, 2.07% due 3/20/2030	A/NR		20,269		20,065
b Sierra Receivables Funding Co., LLC, Series 2015-1A Class A, 2.40% due 3/22/2032	A/NR		104,271		103,801
b Sierra Receivables Funding Co., LLC, Series 2015-3A Class A, 2.58% due 9/20/2032	A/NR		44,786		44,956
b Tax Ease Funding, LLC, Series 2016-1A Class A, 3.131% due 6/15/2028	NR/NR		120,719		120,797
					2,030,818
RESIDENTIAL MTG TRUST — 1.72%
b Angel Oak Mortgage Trust LLC, Series 2017-1 Class A2, 3.085% due 1/25/2047	NR/NR		95,657		95,656
b B2R Mortgage Trust, Series 2015-2 Class A, 3.336% due 11/15/2048	NR/NR		96,538		96,147
b Nationstar HECM Loan Trust, Series 16-1A Class A, 2.981% due 2/25/2026	NR/Aaa		45,938		45,938
b Towd Point Mortgage Trust, Series 2016-5 Class A1, 2.50% due 10/25/2056	NR/NR		95,593		94,996
					332,737
STUDENT LOAN — 4.36%
b Navient Student Loan Trust, Series 2015-AA Class A1, 1.412% due 12/15/2021	NR/Aaa		6,016		6,015
b Navient Student Loan Trust, Series 2016-6A Class A2 Floating Rate Note, 1.732% due 3/25/2066	AAA/Aaa		100,000		100,595
b Nelnet Student Loan Trust, Series 2016-A Class A1A, 2.528% due 12/26/2040	NR/NR		136,680		136,680
b Pennsylvania Higher Education Assistance Agency, Series 2012-1A Class A1 Floating Rate Note, 1.532% due 5/25/2057	AA+/NR		50,088		49,492
b SLM Student Loan Trust, Series 2011-A Class A3 Floating Rate Note, 3.412% due 1/15/2043	AAA/Aaa		100,000		104,508
SLM Student Loan Trust, Series 2013-4 Class A Floating Rate Note, 1.532% due 6/25/2043	NR/Baa3		57,207		56,037
SLM Student Loan Trust, Series 2013-6 Class A2 Floating Rate Note, 1.482% due 2/25/2021	NR/Aaa		60,832		60,857
b SLM Student Loan Trust, Series 2013-B Class A2B Floating Rate Note, 2.012% due 6/17/2030	AAA/NR		200,000		201,921
b Social Professional Loan Program, LLC, Series 2014-A Class A1 Floating Rate Note, 2.356% due 6/25/2025	AAA/NR		90,015		91,924
b Social Professional Loan Program, LLC, Series 2014-B Class A2, 2.55% due 8/27/2029	AAA/Aa1		35,821		35,939
					843,968
TOTAL ASSET BACKED SECURITIES (Cost $5,763,673)					5,763,814
CORPORATE BONDS — 50.30%
AUTOMOBILES & COMPONENTS — 1.81%
Automobiles — 1.81%
b Daimler Finance North America, LLC, 2.45% due 5/18/2020	A/A2		150,000		150,189
b Hyundai Capital America, 2.00% due 3/19/2018	A-/Baa1		50,000		50,045
b Hyundai Capital America, 2.40% due 10/30/2018	A-/Baa1		50,000		50,157
b Nissan Motor Acceptance Corp., 1.95% due 9/12/2017	A-/A2		100,000		100,097
					350,488
BANKS — 5.12%
Banks — 5.12%
Bank of America Corp. Floating Rate Note, 2.063% due 1/15/2019	BBB+/Baa1		100,000		101,212
Citigroup, Inc., 1.70% due 4/27/2018	BBB+/Baa1		75,000		75,032
Citigroup, Inc., 2.50% due 7/29/2019	BBB+/Baa1		75,000		75,677

28    Semi-Annual Reports

Schedule of Investments, Continued
Thornburg Low Duration Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/MOODY’S	PRINCIPAL AMOUNT		VALUE
Fifth Third Bank, 2.30% due 3/15/2019	A-/A3	$	200,000	$	201,353
JPMorgan Chase & Co., 2.244% due 10/29/2020	A-/A3		125,000		127,705
a Mitsubishi UFJ Financial Group, Inc. Floating Rate Note, 2.935% due 3/1/2021	A/A1		200,000		206,815
a Santander UK plc Floating Rate Note, 2.601% due 3/14/2019	A/Aa3		100,000		101,699
Wells Fargo & Co. Floating Rate Note, 2.112% due 12/7/2020	A/A2		100,000		101,430
					990,923
CAPITAL GOODS — 1.04%
Construction & Engineering — 0.52%
URS Corp., 3.85% due 4/1/2017	BB-/NR		100,000		100,000
Machinery — 0.52%
Stanley Black & Decker, Inc., 2.451% due 11/17/2018	A-/Baa2		100,000		101,042
					201,042
COMMERCIAL & PROFESSIONAL SERVICES — 0.93%
Commercial Services & Supplies — 0.53%
Cintas Corp. No. 2, 2.90% due 4/1/2022	BBB+/A3		100,000		101,166
Professional Services — 0.40%
Dun & Bradstreet, Inc., 4.25% due 6/15/2020	BB+/NR		75,000		77,901
					179,067
CONSUMER DURABLES & APPAREL — 1.28%
Leisure Products — 1.28%
Mattel, Inc., 2.35% due 8/15/2021	BBB/Baa2		125,000		122,159
Mattel, Inc., 1.70% due 3/15/2018	BBB/Baa2		125,000		124,788
					246,947
CONSUMER SERVICES — 0.52%
Diversified Consumer Services — 0.52%
George Washington University, 4.411% due 9/15/2017	A+/A1		100,000		101,121
					101,121
DIVERSIFIED FINANCIALS — 5.51%
Capital Markets — 3.81%
Goldman Sachs Group, Inc. Floating Rate Note, 2.331% due 9/15/2020	BBB+/A3		100,000		101,448
Legg Mason, Inc., 2.70% due 7/15/2019	BBB/Baa1		100,000		100,975
Moody’s Corp., 2.75% due 7/15/2019	BBB+/NR		50,000		50,652
Moody’s Corp. Floating Rate Note, 1.414% due 9/4/2018	BBB+/NR		50,000		50,087
Morgan Stanley, 2.80% due 6/16/2020	BBB+/A3		50,000		50,607
Morgan Stanley Floating Rate Note, 2.177% due 1/27/2020	BBB+/A3		75,000		76,295
State Street Corp. Floating Rate Note, 1.952% due 8/18/2020	A/A1		100,000		101,901
a,b UBS AG Jersey Floating Rate Note, 2.597% due 9/24/2020	A-/Baa1		200,000		203,870
Consumer Finance — 0.26%
Synchrony Financial, 3.00% due 8/15/2019	BBB-/NR		50,000		50,780
Diversified Financial Services — 1.44%
b Athene Global Funding, 2.875% due 10/23/2018	A-/NR		75,000		75,439
Intercontinental Exchange, Inc., 2.75% due 12/1/2020	A/A2		100,000		101,534
S&P Global, Inc., 2.50% due 8/15/2018	NR/Baa1		50,000		50,395
S&P Global, Inc., 3.30% due 8/14/2020	NR/Baa1		50,000		51,081
					1,065,064
ENERGY — 3.72%
Oil, Gas & Consumable Fuels — 3.72%
a BP Capital Markets plc Floating Rate Note, 1.386% due 8/14/2018	A-/A2		150,000		150,367
b Chevron Phillips Chemical Co., LLC, Floating Rate Note, 1.784% due 5/1/2020	A-/A2		100,000		99,105
Exxon Mobil Corp., 2.222% due 3/1/2021	AA+/Aaa		75,000		75,145
Exxon Mobil Corp. Floating Rate Note, 1.835% due 3/1/2019	AA+/Aaa		75,000		76,059
Exxon Mobil Corp. Floating Rate Note, 1.654% due 2/28/2018	AA+/Aaa		50,000		50,297
b Kern River Funding Corp., 4.893% due 4/30/2018	A/A2		64,850		66,840
a Statoil ASA, 3.125% due 8/17/2017	A+/Aa3		200,000		201,275
					719,088

Semi-Annual Reports    29

Schedule of Investments, Continued
Thornburg Low Duration Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/MOODY’S	PRINCIPAL AMOUNT		VALUE
FOOD & STAPLES RETAILING — 0.16%
Food & Staples Retailing — 0.16%
Smith’s 1994-A3 Pass Through Trust, 9.20% due 7/2/2018	BBB/A2	$	28,555	$	30,240
					30,240
FOOD, BEVERAGE & TOBACCO — 5.72%
Beverages — 2.60%
Anheuser-Busch InBev Finance Inc. Floating Rate Note, 2.294% due 2/1/2021	A-/A3		150,000		154,514
Molson Coors Brewing Co., 2.10% due 7/15/2021	BBB-/Baa3		150,000		146,475
PepsiCo, Inc. Floating Rate Note, 1.535% due 10/6/2021	A/A1		200,000		201,238
Food Products — 2.60%
General Mills, Inc., 1.40% due 10/20/2017	BBB+/A3		50,000		50,024
Ingredion, Inc., 1.80% due 9/25/2017	BBB/Baa2		100,000		100,047
Kraft Heinz Foods Co., 1.60% due 6/30/2017	BBB-/Baa3		250,000		250,076
Mead Johnson Nutrition Co., 3.00% due 11/15/2020	BBB/Baa1		100,000		101,933
Tobacco — 0.52%
Altria Group, Inc., 2.625% due 1/14/2020	A-/A3		100,000		101,274
					1,105,581
HEALTH CARE EQUIPMENT & SERVICES — 2.33%
Health Care Equipment & Supplies — 0.78%
Abbott Laboratories, 2.35% due 11/22/2019	BBB/Baa3		150,000		150,622
Health Care Providers & Services — 1.55%
Catholic Health Initiatives, 1.60% due 11/1/2017	BBB+/Baa1		100,000		99,895
b Roche Holding, Inc. Floating Rate Note, 1.492% due 9/30/2019	AA/A1		200,000		200,883
					451,400
INSURANCE — 1.43%
Insurance — 1.43%
a Enstar Group Ltd., 4.50% due 3/10/2022	BBB-/NR		50,000		50,629
b Principal Life Global Funding II, 1.50% due 9/11/2017	A+/A1		50,000		49,995
b Principal Life Global Funding II, 2.375% due 9/11/2019	A+/A1		50,000		50,313
b Reliance Standard Life Insurance Co., 3.05% due 1/20/2021	A/A2		25,000		25,208
b Reliance Standard Life Insurance Co., 2.50% due 4/24/2019	A/A2		100,000		100,662
					276,807
MATERIALS — 0.26%
Chemicals — 0.26%
Airgas, Inc., 3.05% due 8/1/2020	A-/A3		50,000		51,366
					51,366
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 1.36%
Biotechnology — 0.52%
Gilead Sciences, Inc., 2.55% due 9/1/2020	A/A3		100,000		101,077
Pharmaceuticals — 0.84%
a Actavis Funding SCS, 2.35% due 3/12/2018	BBB/Baa3		60,000		60,262
a Mylan N.V., 3.00% due 12/15/2018	BBB-/Baa3		100,000		101,160
					262,499
REAL ESTATE — 0.52%
Equity Real Estate Investment Trusts — 0.52%
Select Income REIT, 2.85% due 2/1/2018	BBB-/Baa2		100,000		100,637
					100,637
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.65%
Semiconductors & Semiconductor Equipment — 0.65%
b Broadcom Corp./Broadcom Cayman Finance Ltd., 2.375% due 1/15/2020	BBB-/Baa2		125,000		124,985
					124,985
SOFTWARE & SERVICES — 4.50%
Information Technology Services — 1.83%
Fidelity National Information Services, Inc., 2.85% due 10/15/2018	BBB/Baa3		150,000		152,071

30    Semi-Annual Reports

Schedule of Investments, Continued
Thornburg Low Duration Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION		CREDIT RATING† S&P/MOODY’S	PRINCIPAL AMOUNT		VALUE
Fiserv, Inc., 2.70% due 6/1/2020		BBB/Baa2	$	100,000	$	101,132
Total System Services, Inc., 2.375% due 6/1/2018		BBB-/Baa3		100,000		100,416
Internet Software & Services — 0.60%
eBay, Inc., 2.50% due 3/9/2018		BBB+/Baa1		115,000		115,874
Software — 2.07%
Autodesk, Inc., 3.125% due 6/15/2020		BBB/Baa2		100,000		101,930
CA Technologies, Inc., 2.875% due 8/15/2018		BBB+/Baa2		125,000		126,651
Oracle Corp., 1.90% due 9/15/2021		AA-/A1		175,000		171,958
						870,032
TECHNOLOGY HARDWARE & EQUIPMENT — 2.50%
Communications Equipment — 1.31%
Cisco Systems, Inc. Floating Rate Note, 1.652% due 2/21/2018		AA-/A1		150,000		150,818
Juniper Networks, Inc., 3.30% due 6/15/2020		BBB/Baa2		100,000		102,282
Technology, Hardware, Storage & Peripherals — 1.19%
Apple, Inc. Floating Rate Note, 1.873% due 2/22/2019		AA+/Aa1		50,000		50,757
Apple, Inc. Floating Rate Note, 2.183% due 2/23/2021		AA+/Aa1		50,000		51,602
Apple, Inc. Floating Rate Note, 1.538% due 2/9/2022		AA+/Aa1		25,000		25,202
Hewlett Packard Enterprise Co. Floating Rate Note, 2.929% due 10/5/2018		BBB/Baa2		100,000		102,042
						482,703
TELECOMMUNICATION SERVICES — 3.33%
Diversified Telecommunication Services — 2.30%
AT&T, Inc., 2.45% due 6/30/2020		BBB+/Baa1		100,000		99,993
AT&T, Inc., 2.082% due 6/30/2020		BBB+/Baa1		50,000		50,584
AT&T, Inc., 1.962% due 11/27/2018		BBB+/Baa1		50,000		50,457
Verizon Communications, Inc. Floating Rate Note, 2.871% due 9/14/2018		BBB+/Baa1		140,000		142,963
Verizon Communications, Inc. Floating Rate Note, 1.918% due 6/17/2019		BBB+/Baa1		100,000		100,714
Wireless Telecommunication Services — 1.03%
a Vodafone Group plc, 1.25% due 9/26/2017		BBB+/Baa1		200,000		199,828
						644,539
TRANSPORTATION — 0.56%
Air Freight & Logistics — 0.04%
b FedEx Corp. 2012 Pass-Through Trust, 2.625% due 1/15/2018		BBB/Baa1		7,346		7,338
Road & Rail — 0.52%
b Penske Truck Leasing Co. LP/PTL Finance Corp., 3.20% due 7/15/2020		BBB/Baa2		100,000		101,767
						109,105
UTILITIES — 7.05%
Electric Utilities — 6.53%
Cleveland Electric Illuminating Co., 7.88% due 11/1/2017		BBB+/Baa1		185,000		191,446
Commonwealth Edison Co., 6.15% due 9/15/2017		A-/A2		165,000		168,383
Duke Energy Corp. Floating Rate Note, 1.378% due 4/3/2017		BBB+/NR		200,000		200,000
Duke Energy Florida Project Finance, LLC, 1.196% due 3/1/2022		AAA/Aaa		201,000		199,773
a,b Electricite de France S.A., 2.15% due 1/22/2019		A-/A3		100,000		100,115
a,b Enel Finance International S.A., 6.25% due 9/15/2017		BBB/Baa2		100,000		102,004
Exelon Corp., 1.55% due 6/9/2017		BBB-/Baa2		50,000		50,002
Exelon Corp., 2.85% due 6/15/2020		BBB-/Baa2		50,000		50,655
NextEra Energy Capital Holdings, Inc., 1.586% due 6/1/2017		BBB+/Baa1		100,000		100,027
The Southern Co., 2.45% due 9/1/2018		BBB+/Baa2		100,000		100,839
Multi-Utilities — 0.52%
Dominion Gas Holdings, LLC, 2.50% due 12/15/2019		BBB+/A2		100,000		101,120
						1,364,364
TOTAL CORPORATE BONDS (Cost $9,659,777)						9,727,998
CONVERTIBLE BONDS — 0.26%
REAL ESTATE — 0.26%
Equity Real Estate Investment Trusts — 0.26%
b IAS Operating Partnership LP, 5.00% due 3/15/2018		NR/NR		50,000		50,437
TOTAL CONVERTIBLE BONDS (Cost $48,962)	��					50,437

Semi-Annual Reports    31

Schedule of Investments, Continued
Thornburg Low Duration Income Fund	March 31, 2017 (Unaudited)

ISSUER-DESCRIPTION	CREDIT RATING† S&P/MOODY’S		PRINCIPAL AMOUNT		VALUE
MUNICIPAL BONDS — 1.33%
JobsOhio Beverage System, 2.217% due 1/1/2019 (State Liquor Enterprise)		AA/Aa3	$	100,000	$	101,320
Louisiana Local Government Environmental Facilities and Community Development Authority, 1.66% due 2/1/2022 (Louisiana Utilities Restoration)		AAA/Aaa		54,974		54,827
Sandoval County, New Mexico, 1.452% due 6/1/2017		A+/NR		100,000		100,037
TOTAL MUNICIPAL BONDS (Cost $253,353)						256,184
SHORT TERM INVESTMENTS — 4.35%				84,193		841,926
d Thornburg Capital Management Fund
TOTAL SHORT TERM INVESTMENTS (Cost $841,926)						841,926
TOTAL INVESTMENTS — 102.16% (Cost $19,686,535)					$	19,757,967
LIABILITIES NET OF OTHER ASSETS — (2.16)%						(417,866	)
NET ASSETS — 100.00%					$	19,340,101

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.

a Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations.

b Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2017, the aggregate value of these securities in the Fund’s portfolio was $6,035,956, representing 31.21% of the Fund’s net assets.

c Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee.

d Investment in Affiliates - Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/ PRINCIPAL SEPTEMBER 30, 2016		GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/ PRINCIPAL MARCH 31, 2017		MARKET VALUE MARCH 31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Thornburg Capital Management Fund		136,327		739,439		791,573		84,193	$	841,926	$	3,779	$	—
Total non-controlled affiliated issuers - 4.35% of net assets									$	841,926	$	3,779	$	—

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

CMO	Collateralized Mortgage Obligation
Mtg	Mortgage
REIT	Real Estate Investment Trust
SBA	Small Business Administration

See notes to financial statements.

32    Semi-Annual Reports

Statements of Assets and Liabilities
	March 31, 2017 (Unaudited)

	THORNBURG LIMITED TERM U.S. GOVERNMENT FUND			THORNBURG LIMITED TERM INCOME FUND			THORNBURG LOW DURATION INCOME FUND
ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $292,595,596, $4,789,511,110,and 18,844,609, respectively)	$	292,018,716		$	4,823,137,436		$	18,916,041
Non-controlled affiliated issuer (cost $0, $0, and $841,926,respectively)		—			—			841,926
Cash		77,010			3,747,597			—
Receivable for investments sold		—			1,205,000			—
Receivable for fund shares sold		948,376			16,900,940			47,416
Receivable from investment advisor		—			—			7,673
Dividends receivable		—			—			761
Interest receivable		970,172			25,646,124			60,307
Prepaid expenses and other assets		173,987			128,822			34,674
Total Assets		294,188,261			4,870,765,919			19,908,798
LIABILITIES
Payable for investments purchased		—			19,855,514			761
Payable for fund shares redeemed		1,055,870			13,024,555			523,753
Payable to investment advisor and other affiliates (Note 4)		139,647			2,178,194			—
Accounts payable and accrued expenses		—			765,539			42,866
Dividends payable		103,950			869,779			1,317
Total Liabilities		1,299,467			36,693,581			568,697
NET ASSETS	$	292,888,794		$	4,834,072,338		$	19,340,101
NET ASSETS CONSIST OF
Undistributed (distribution in excess of) net investment income	$	(578,541	)	$	(1,650,835	)	$	1,205
Net unrealized appreciation (depreciation) on investments		(576,880	)		33,626,326			71,432
Accumulated net realized gain (loss)		(9,587,606	)		(2,342,268	)		3,211
Net capital paid in on shares of beneficial interest		303,631,821			4,804,439,115			19,264,253
	$	292,888,794		$	4,834,072,338		$	19,340,101

Semi-Annual Reports    33

Statements of Assets and Liabilities, Continued
	March 31, 2017 (Unaudited)

	THORNBURG LIMITED TERM U.S. GOVERNMENT FUND		THORNBURG LIMITED TERM INCOME FUND		THORNBURG LOW DURATION INCOME FUND
NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($99,631,317, $949,142,731, and $6,651,391 applicable to 7,651,074, 70,934,537, and 535,723 shares of beneficial interest outstanding - Note 5)	$	13.02	$	13.38	$	12.42
Maximum sales charge, 1.50% of offering price		0.20		0.20		0.19
Maximum offering price per share	$	13.22	$	13.58	$	12.61
Class C Shares:
Net asset value and offering price per share* ($41,673,093 and $617,261,103 applicable to 3,181,202 and 46,205,448 shares of beneficial interest outstanding - Note 5)	$	13.10	$	13.36	$	—
Class I Shares:
Net asset value, offering and redemption price per share ($130,863,916, $3,062,450,995, and $12,688,710 applicable to 10,049,034, 228,833,679, and 1,022,405 shares of beneficial interest outstanding - Note 5)	$	13.02	$	13.38	$	12.41
Class R3 Shares:
Net asset value, offering and redemption price per share ($13,833,898 and $106,020,215 applicable to 1,061,696 and 7,917,879 shares of beneficial interest outstanding - Note 5)	$	13.03	$	13.39	$	—
Class R4 Shares:
Net asset value, offering and redemption price per share ($2,501,025 and $7,431,623 applicable to 192,094 and 555,698 shares of beneficial interest outstanding - Note 5)	$	13.02	$	13.37	$	—
Class R5 Shares:
Net asset value, offering and redemption price per share ($4,385,545 and $91,765,671 applicable to 336,371 and 6,859,137 shares of beneficial interest outstanding - Note 5)	$	13.04	$	13.38	$	—

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

34    Semi-Annual Reports

Statements of Operations
	Six Months Ended March 31, 2017 (Unaudited)

	THORNBURG LIMITED TERM U.S. GOVERNMENT FUND			THORNBURG LIMITED TERM INCOME FUND			THORNBURG LOW DURATION INCOME FUND
INVESTMENT INCOME
Dividend income non-controlled affiliated issuer	$	—		$	—		$	3,779
Interest income (net of premium amortized of $431,578, $3,916,830, and $26,639 and net of paydown losses of $529,985, $1,664,926, and $8,560, respectively)		3,131,703			61,535,659			226,889
Total Income		3,131,703			61,535,659			230,668
EXPENSES
Investment advisory fees (Note 4)		583,737			8,000,375			49,202
Administration fees (Note 4)
Class A Shares		66,914			667,289			5,393
Class C Shares		27,991			402,315			—
Class I Shares		33,251			710,002			3,993
Class R3 Shares		13,074			61,295			—
Class R4 Shares		1,287			4,343			—
Class R5 Shares		875			18,535			—
Distribution and service fees (Note 4)
Class A Shares		133,829			1,334,578			8,626
Class C Shares		111,568			1,607,546			—
Class R3 Shares		52,004			244,652			—
Class R4 Shares		2,571			8,734			—
Transfer agent fees
Class A Shares		46,101			653,495			13,644
Class C Shares		25,707			253,461			—
Class I Shares		53,305			1,068,891			4,999
Class R3 Shares		23,362			51,004			—
Class R4 Shares		3,528			16,954			—
Class R5 Shares		2,372			82,194			—
Registration and filing fees
Class A Shares		14,194			18,585			11,476
Class C Shares		8,416			15,128			—
Class I Shares		10,118			57,589			11,547
Class R3 Shares		7,757			9,511			—
Class R4 Shares		9,924			9,765			—
Class R5 Shares		10,052			10,522			—
Custodian fees (Note 2)		58,995			219,890			19,230
Professional fees		22,720			43,366			12,812
Accounting fees (Note 4)		5,457			76,545			454
Trustee fees		7,582			108,080			820
Other expenses		32,726			244,923			6,729
Total Expenses		1,369,417			15,999,567			148,925
Less:
Expenses reimbursed by investment advisor (Note 4)		(73,913	)		(85,170	)		(55,053	)
Investment advisory fees waived by investment advisor (Note 4)		—			—			(27,764	)
Net Expenses		1,295,504			15,914,397			66,108
Net Investment Income	$	1,836,199		$	45,621,262		$	164,560

Semi-Annual Reports    35

Statements of Operations, Continued
	Six Months Ended March 31, 2017 (Unaudited)

	THORNBURG LIMITED TERM U.S. GOVERNMENT FUND			THORNBURG LIMITED TERM INCOME FUND			THORNBURG LOW DURATION INCOME FUND
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on non-affiliated issuer investments	$	(143,276	)	$	229,243		$	10,732
Net change in unrealized appreciation (depreciation) on non-affiliated issuer investments		(5,204,708	)		(46,092,987	)		(106,323	)
Net Realized and Unrealized Gain (Loss)		(5,347,984	)		(45,863,744	)		(95,591	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(3,511,785	)	$	(242,482	)	$	68,969

See notes to financial statements.

36    Semi-Annual Reports

Statements of Changes in Net Assets

Thornburg Limited Term U.S. Government Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	1,836,199		$	3,717,056
Net realized gain (loss) on investments		(143,276	)		431,056
Net unrealized appreciation (depreciation) on investments		(5,204,708	)		624,568
Net Increase (Decrease) in Net Assets Resulting from Operations		(3,511,785	)		4,772,680
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(749,794	)		(1,621,961	)
Class B Shares		—			(213	)
Class C Shares		(249,053	)		(599,665	)
Class I Shares		(1,160,061	)		(2,370,502	)
Class R3 Shares		(139,147	)		(314,773	)
Class R4 Shares		(13,848	)		(20,171	)
Class R5 Shares		(30,293	)		(31,611	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(10,286,243	)		6,979,231
Class B Shares**		—			(146,065	)
Class C Shares		(5,869,481	)		1,598,490
Class I Shares		(11,146,399	)		31,721,059
Class R3 Shares		(13,658,174	)		11,722,796
Class R4 Shares		440,432			1,392,817
Class R5 Shares		3,879,331			(1,602,542	)
Net Increase (Decrease) in Net Assets		(42,494,515	)		51,479,570
NET ASSETS
Beginning of Period		335,383,309			283,903,739
End of Period	$	292,888,794		$	335,383,309
Distribution in excess of net investment income	$	(578,541	)	$	(72,544	)

* Unaudited.

** Class B shares converted to Class A shares on August 29, 2016.

See notes to financial statements.

Semi-Annual Reports    37

Statements of Changes in Net Assets

Thornburg Limited Term Income Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	45,621,262		$	83,440,137
Net realized gain (loss) on investments		229,243			368,703
Net unrealized appreciation (depreciation) on investments		(46,092,987	)		67,630,273
Net Increase (Decrease) in Net Assets Resulting from Operations		(242,482	)		151,439,113
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(9,504,482	)		(20,118,725	)
Class C Shares		(5,063,369	)		(10,624,842	)
Class I Shares		(30,589,730	)		(52,073,916	)
Class R3 Shares		(813,017	)		(2,231,397	)
Class R4 Shares		(57,743	)		(92,837	)
Class R5 Shares		(741,281	)		(1,551,920	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(151,107,809	)		117,352,214
Class C Shares		(43,720,685	)		46,797,603
Class I Shares		297,528,205			773,360,293
Class R3 Shares		2,738,158			(70,153,200	)
Class R4 Shares		1,167,890			2,318,125
Class R5 Shares		20,607,826			(25,337,098	)
Net Increase in Net Assets		80,201,481			909,083,413
NET ASSETS
Beginning of Period		4,753,870,857			3,844,787,444
End of Period	$	4,834,072,338		$	4,753,870,857
Distribution in excess of net investment income	$	(1,650,835	)	$	(502,475	)

* Unaudited.

See notes to financial statements.

38    Semi-Annual Reports

Statements of Changes in Net Assets

Thornburg Low Duration Income Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	164,560		$	235,375
Net realized gain (loss) on investments		10,732			3,535
Net unrealized appreciation (depreciation) on investments		(106,323	)		163,252
Net Increase (Decrease) in Net Assets Resulting from Operations		68,969			402,162
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(54,466	)		(98,936	)
Class I Shares		(110,584	)		(145,144	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(3,550,627	)		230,729
Class I Shares		(4,354,103	)		8,956,507
Net Increase (Decrease) in Net Assets		(8,000,811	)		9,345,318
NET ASSETS
Beginning of Period		27,340,912			17,995,594
End of Period	$	19,340,101		$	27,340,912
Undistributed net investment income	$	1,205		$	1,695

* Unaudited.

See notes to financial statements.

Semi-Annual Reports    39

Notes to Financial Statements
	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg Limited Term U.S. Government Fund (the “Government Fund”), Thornburg Limited Term Income Fund (the “Income Fund”) and Thornburg Low Duration Income Fund (the “Low Duration Fund”), collectively the (“Funds”), are diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Funds are currently three of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds’ primary objectives are to provide as high a level of current income as is consistent, in the view of Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. As a secondary objective, the Government Fund and the Income Fund seek to reduce changes in their share prices compared to longer term portfolios.

The Government Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”).

The Income Fund currently offers six classes of shares of beneficial interest outstanding, Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”).

The Low Duration Fund currently offers two classes of shares of beneficial interest outstanding, Class A and Institutional Class (“Class I”).

Each class of shares of the Funds represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge, but bear both a service fee and a distribution fee, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase but bear a service fee, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (vii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, each Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Funds are limited to distribution and service fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Funds in the preparation of its financial statements. Each Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations. Dividend income is recorded on the ex-dividend date.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio

40    Semi-Annual Reports

Notes to Financial Statements, Continued
	March 31, 2017 (Unaudited)

securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Funds may invest excess cash in repurchase agreements whereby the Funds purchase investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

	GOVERNMENT FUND			INCOME FUND			LOW DURATION FUND
Cost of investments for tax purposes	$	292,595,596		$	4,789,511,110		$	19,686,535
Gross unrealized appreciation on a tax basis	$	1,725,266		$	55,952,327		$	111,659
Gross unrealized depreciation on a tax basis		(2,302,146	)		(22,326,001	)		(40,227	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	(576,880	)	$	33,626,326		$	71,432

At March 31, 2017, the Funds had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 as follows. For tax purposes, such losses will be recognized in the year ending September 30, 2017:

	GOVERNMENT FUND		INCOME FUND		LOW DURATION FUND
Deferred tax basis capital losses	$	562,103	$	–	$	4,028

Semi-Annual Reports    41

Notes to Financial Statements, Continued
	March 31, 2017 (Unaudited)

At March 31, 2017, the Government Fund had cumulative tax basis capital losses of $8,758,031, (of which $2,091,263 are short-term and $6,666,768 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire, but are required to be utilized to offset future gains prior to the utilization of losses generated prior to October 1, 2011.

At March 31, 2017, the Government Fund had cumulative tax basis capital losses generated prior to October 1, 2011 which may expire prior to utilization.

Capital loss carryforwards generated prior to October 31, 2011 expire as follows:

2018	$	17,316
2019		106,151
	$	123,467

At March 31, 2017, the Income Fund had cumulative tax basis capital losses of $2,252,409, (of which $0 are short-term and $2,252,409 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

At March 31, 2017, the Low Duration Fund had cumulative tax basis capital losses of $3,471, (of which $0 are short-term and $3,471 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Debt obligations held by the Funds which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Funds, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Valuation Hierarchy: The Funds categorize investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most

42    Semi-Annual Reports

Notes to Financial Statements, Continued
	March 31, 2017 (Unaudited)

observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for a Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by a Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and a Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

GOVERNMENT FUND

The following table displays a summary of the fair value hierarchy measurements of the Government Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities
U.S. Treasury Securities	$	67,176,644	$	67,176,644	$	—	$	—
U.S. Government Agencies		57,720,185		2,010,443		55,709,742		—
Mortgage Backed		148,021,972		—		148,021,972		—
Short Term Investments		19,099,915		—		19,099,915		—
Total Investments in Securities	$	292,018,716	$	69,187,087	$	222,831,629	$	—

In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2017.

Semi-Annual Reports    43

Notes to Financial Statements, Continued
	March 31, 2017 (Unaudited)

A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2017 is as follows:

	U.S. GOVERNMENT AGENCIES		TOTAL
Beginning Balance 9/30/2016	$	2,863,421	$	2,863,421
Accrued Discounts (Premiums)		—		—
Net Realized Gain (Loss)		—		—
Gross Purchases		—		—
Gross Sales		—		—
Net Change in Unrealized
Appreciation (Depreciation)		—		—
Transfers into Level 3(a)		—		—
Transfers out of Level 3(a)		(2,863,421)		(2,863,421)
Ending Balance 3/31/2017	$	—	$	—

(a) Transfers into or out of Level 3 were out of or into Level 2, and were due to changes in other significant observable inputs available during the six months ended March 31, 2017. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred.

INCOME FUND

The following table displays a summary of the fair value hierarchy measurements of the Income Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3(a)
Assets
Investments in Securities
U.S. Treasury Securities	$	314,451,876	$	314,451,876	$	—	$	—
U.S. Government Agencies		232,061,283		—		228,701,283		3,360,000
Other Government		63,054,469		5,047,135		58,007,334		—
Mortgage Backed		232,188,860		—		206,121,202		26,067,658
Asset Backed Securities		1,075,276,394		—		1,065,872,853		9,403,541
Corporate Bonds		2,305,749,780		17,189,064		2,288,560,716		—
Convertible Bonds		20,124,562		—		20,124,562		—
Municipal Bonds		115,379,590		—		115,379,590		—
Short Term Investments		464,850,622		—		464,850,622		—
Total Investments in Securities	$	4,823,137,436	$	336,688,075	$	4,447,618,162	$	38,831,199

(a) In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, no unadjusted broker quotes were applied to portfolio securities characterized as Level 3 investments at March 31, 2017. The following table displays a summary of the valuation techniques and unobservable inputs used to value portfolio securities characterized as Level 3 investments, where no unadjusted broker quotes were available at March 31, 2017:

	FAIR VALUE AT MARCH 31, 2017		VALUATION TECHNIQUE(S)		UNOBSERVABLE INPUT		RANGE (WEIGHTED AVERAGE)
Mortgage Backed	$	26,067,658		Cost basis		Cost basis	$	96.55 (N/A	)
U.S. Government Agencies		3,360,000		Market comparable securities yield method		Yields of comparable securities		3.25% (N/A	)
Asset-Backed Securities		9,403,541		Discounted cash flows		Third party vendor projection of discounted cash flows		2.80% – 5.40% (2.18%	)
Total	$	38,831,199

In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2017.

44    Semi-Annual Reports

Notes To Financial Statements, Continued
	March 31, 2017 (Unaudited)

A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2017 is as follows:

	ASSET BACKED SECURITIES			MORTGAGE BACKED			U.S. GOVERNMENT AGENCIES			TOTAL(d)
Beginning Balance 9/30/2016	$	9,667,174		$	—		$	3,540,000		$	13,207,174
Accrued Discounts (Premiums)		7,170			925			(20,458	)		(12,363	)
Net Realized Gain (Loss)(a)		33,980			—			—			33,980
Gross Purchases		—			26,067,658			—			26,067,658
Gross Sales		(262,500	)		—			—			(262,500	)
Net Change in Unrealized
Appreciation (Depreciation)(b)(c)		(42,283	)		(925	)		(159,542	)		(202,750	)
Transfers into Level 3		—			—			—			—
Transfers out of Level 3		—			—			—			—
Ending Balance 3/31/2017	$	9,403,541		$	26,067,658		$	3,360,000		$	38,831,199

(a) Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2017.

(b) Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2017.

(c) The net change in unrealized appreciation (depreciation) attributable to securities owned at March 31, 2017, which were valued using significant unobservable inputs, was $(202,750). This is included within net change in unrealized appreciation (depreciation) on investments in the Fund’s the Statement of Operations for the six months ended March 31, 2017.

(d) Level 3 investments represent 0.80% of total net assets at the six months ended March 31, 2017. Significant fluctuations of the unobservable inputs applied to portfolio securities characterized as Level 3 investments could be expected to increase or decrease the fair value of these portfolio securities.

LOW DURATION FUND

The following table displays a summary of the fair value hierarchy measurements of the Low Duration Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL  3(a)
Assets
Investments in Securities
U.S. Treasury Securities	$	1,692,514	$	1,692,514	$	—	$	—
U.S. Government Agencies		704,804		—		704,804		—
Mortgage Backed		720,290		—		720,290		—
Asset Backed Securities		5,763,814		—		5,694,024		69,790
Corporate Bonds		9,727,998		—		9,727,998		—
Convertible Bonds		50,437		—		50,437		—
Municipal Bonds		256,184		—		256,184		—
Short Term Investments		841,926		841,926		—		—
Total Investments in Securities	$	19,757,967	$	2,534,440	$	17,153,737	$	69,790

(a) In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, a portfolio security characterized as a Level 3 investment was fair valued by the Committee using a yield of 2.90% based upon a third party projection of discounted cash flows.

In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2017.

Semi-Annual Reports    45

Notes to Financial Statements, Continued
	March 31, 2017 (Unaudited)

A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2017 is as follows:

	ASSET BACKED SECURITIES			TOTAL(c)
Beginning Balance 9/30/2016	$	69,994		$	69,994
Accrued Discounts (Premiums)		—			—
Net Realized Gain (Loss)		—			—
Gross Purchases		—			—
Gross Sales		—			—
Net Change in Unrealized
Appreciation (Depreciation)(a)(b)		(204	)		(204	)
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Ending Balance 3/31/2017	$	69,790		$	69,790

(a) Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2017.

(b) The net change in unrealized appreciation (depreciation) attributable to securities owned at March 31, 2017, which were valued using significant unobservable inputs, was $(204). This is included within net change in unrealized appreciation (depreciation) on investments in the Fund’s the Statement of Operations for the six months ended March 31, 2017.

(c) Level 3 investments represent 0.36% of total net assets at the year ended March 31, 2017. Significant fluctuations of the unobservable inputs to portfolio securities characterized as Level 3 investments could be expected to increase or decrease the fair value of these portfolio securities.

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Funds for which the fees are payable at the end of each month. Under the investment advisory agreement, a Fund pays the Advisor a management fee based on the daily net assets of a Fund at an annual rate as shown in the following table:

Management Fee Schedule
GOVERNMENT FUND				INCOME FUND				LOW DURATION FUND
DAILY NET ASSETS	FEE RATE			DAILY NET ASSETS	FEE RATE			DAILY NET ASSETS		FEE RATE
Up to $1 billion		0.375	%	Up to $500 million		0.500	%		Up to $1 Billion		0.400	%
Next $1 billion		0.325		Next $500 million		0.450			Next $500 million		0.300
Over $2 billion		0.275		Next $500 million		0.400			Next $500 million		0.250
				Next $500 million		0.350			Over $2 billion		0.225
				Over $2 billion		0.275

The Government Fund’s effective management fee for the period ended March 31, 2017 was 0.375% of the Fund’s average net assets.

The Income Fund’s effective management fee for the period ended March 31, 2017 was 0.338% of the Fund’s average net assets.

The Low Duration Fund’s effective management fee for the period ended March 31, 2017 was 0.40% of the Fund’s average net assets (before applicable management fee waiver of $27,764).

The Funds pay the Advisor the costs of personnel who perform certain accounting services for the Funds. For the six months ended March 31, 2017 the Government Fund, Income Fund, and Low Duration Fund paid $5,457, $76,545, and $454 to the Advisor for these accounting services, respectively. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds’ shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to Class A, Class C, Class R3, and Class R4 shares, and up to .05 of 1% per annum of the average daily net assets attributable to Class I and Class R5 shares. Total administrative service fees incurred by each class of shares of the Funds for the six months ended March 31, 2017, are set forth in the Statement of Operations.

46    Semi-Annual Reports

Notes To Financial Statements, Continued
	March 31, 2017 (Unaudited)

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Funds’ shares. For the six months ended March 31, 2017, the Distributor has advised the Funds that they earned net commissions from the sale of Class A shares and collected contingent deferred sales charges (CDSC fees) from redemptions of Class C shares as follows:

	GOVERNMENT FUND		INCOME FUND		LOW DURATION FUND
Commissions	$	244	$	84	$	1,267
CDSC fees	$	1,019	$	23,932	$	—

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Funds may reimburse to the Distributor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to the applicable Class A, Class C, Class R3, and Class R4 shares of the Funds for payments made by the Distributor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I or Class R5 shares. The Advisor and the Distributor each may pay out of its own resources additional expenses for distribution of each Fund’s shares and shareholder services.

The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable to each Fund’s Class C and Class R3 shares under which the Funds compensate the Distributor for services in promoting the sale of Class C and R3 shares of the Funds at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C and Class R3 shares.

Total fees incurred by each class of shares of the Funds under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statements of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Funds so that actual expenses of certain share classes do not exceed levels as specified in each Fund’s most recent prospectus. The agreement may be terminated by the Funds at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Funds prior to that date. The Advisor and Distributor retain the right to be repaid by the Funds for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.

	GOVERNMENT FUND		INCOME FUND		LOW DURATION FUND
Contractual:
Class A	$	4,395	$	—	$	34,514
Class C	$	1,962	$	—	$	—
Class I	$	5,330	$	—	$	20,539
Class R3	$	40,810	$	61,249	$	—
Class R4	$	11,820	$	18,168	$	—
Class R5	$	9,596	$	5,753	$	—
	GOVERNMENT FUND		INCOME FUND		LOW DURATION FUND
Voluntary:
Class A	$	—	$	—	$	9,738
Class C	$	—	$	—	$	—
Class I	$	—	$	—	$	18,026
Class R3	$	—	$	—	$	—
Class R4	$	—	$	—	$	—
Class R5	$	—	$	—	$	—

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Funds held by Trustees and Officers of the Trust and the Advisor is approximately .03%, .50%, and 33.04% for the Government Fund, Income Fund, and Low Duration Fund, respectively.

The Funds may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Government Fund had no affiliated fund transactions. The Income Fund had transactions of $1,921,393 in purchases. The Low Duration Fund had transactions of $1,921,393 in sales.

Semi-Annual Reports    47

Notes to Financial Statements, Continued
	March 31, 2017 (Unaudited)

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

GOVERNMENT FUND

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		619,669		$	8,115,787			3,244,060		$	42,920,650
Shares converted from Class B Shares		—			—			3,192			42,268
Shares issued to shareholders in reinvestment of dividends		52,095			680,733			107,867			1,428,746
Shares repurchased		(1,460,901	)		(19,082,763	)		(2,825,799	)		(37,412,433	)
Net increase (decrease)		(789,137	)		(10,286,243	)		529,320			6,979,231
Class B Shares*
Shares sold		—			—			13,171		$	173,000
Shares issued to shareholders in reinvestment of dividends		—			—			15			201
Shares converted to Class A shares		—			—			(3,201	)		(42,268	)
Shares repurchased		—			—			(20,937	)		(276,998	)
Net increase (decrease)		—			—			(10,952	)		(146,065	)
Class C Shares
Shares sold		252,883		$	3,333,164			1,382,885		$	18,381,110
Shares issued to shareholders in reinvestment of dividends		16,808			220,953			39,396			524,936
Shares repurchased		(715,921	)		(9,423,598	)		(1,300,183	)		(17,307,556	)
Net increase (decrease)		(446,230	)		(5,869,481	)		122,098			1,598,490
Class I Shares
Shares sold		1,779,449		$	23,241,852			6,846,168		$	90,628,309
Shares issued to shareholders in reinvestment of dividends		58,943			770,313			109,182			1,446,413
Shares repurchased		(2,685,920	)		(35,158,564	)		(4,567,281	)		(60,353,663	)
Net increase (decrease)		(847,528	)		(11,146,399	)		2,388,069			31,721,059
Class R3 Shares
Shares sold		339,001		$	4,455,470			1,457,239		$	19,307,025
Shares issued to shareholders in reinvestment of dividends		8,642			113,098			21,503			284,976
Shares repurchased		(1,399,913	)		(18,226,742	)		(594,414	)		(7,869,205	)
Net increase (decrease)		(1,052,270	)		(13,658,174	)		884,328			11,722,796
Class R4 Shares
Shares sold		78,107		$	1,017,904			120,688		$	1,601,055
Shares issued to shareholders in reinvestment of dividends		981			12,807			1,452			19,238
Shares repurchased		(45,217	)		(590,279	)		(17,154	)		(227,476	)
Net increase (decrease)		33,871			440,432			104,986			1,392,817

48    Semi-Annual Reports

Notes to Financial Statements, Continued
	March 31, 2017 (Unaudited)

GOVERNMENT FUND (continued)

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class R5 Shares
Shares sold		309,654		$	4,091,636			64,811		$	858,427
Shares issued to shareholders in reinvestment of dividends		2,296			29,987			535			7,096
Shares repurchased		(18,514	)		(242,292	)		(185,977	)		(2,468,065	)
Net increase (decrease)		293,436			3,879,331			(120,631	)		(1,602,542	)

* Class B shares converted to Class A shares on August 29, 2016.

INCOME FUND

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		9,942,505		$	132,974,167			32,795,693		$	437,429,823
Shares issued to shareholders in reinvestment of dividends		631,331			8,448,455			1,328,847			17,770,838
Shares repurchased		(21,878,181	)		(292,530,431	)		(25,246,243	)		(337,848,447	)
Net increase (decrease)		(11,304,345	)		(151,107,809	)		8,878,297			117,352,214
Class C Shares
Shares sold		3,783,467		$	50,566,268		��	12,728,067		$	169,641,470
Shares issued to shareholders in reinvestment of dividends		339,818			4,540,063			711,677			9,500,564
Shares repurchased		(7,401,573	)		(98,827,016	)		(9,928,440	)		(132,344,431	)
Net increase (decrease)		(3,278,288	)		(43,720,685	)		3,511,304			46,797,603
Class I Shares
Shares sold		59,990,556		$	802,226,174			104,313,980		$	1,394,443,302
Shares issued to shareholders in reinvestment of dividends		2,038,787			27,286,082			3,427,302			45,859,108
Shares repurchased		(39,768,912	)		(531,984,051	)		(49,935,769	)		(666,942,117	)
Net increase (decrease)		22,260,431			297,528,205			57,805,513			773,360,293
Class R3 Shares
Shares sold		2,146,523		$	28,734,957			5,362,451		$	71,387,699
Shares issued to shareholders in reinvestment of dividends		54,254			726,626			156,543			2,091,489
Shares repurchased		(1,995,435	)		(26,723,425	)		(10,779,842	)		(143,632,388	)
Net increase (decrease)		205,342			2,738,158			(5,260,848	)		(70,153,200	)
Class R4 Shares
Shares sold		176,656		$	2,362,796			363,454		$	4,853,487
Shares issued to shareholders in reinvestment of dividends		1,813			24,245			1,985			26,613
Shares repurchased		(91,233	)		(1,219,151	)		(190,459	)		(2,561,975	)
Net increase (decrease)		87,236			1,167,890			174,980			2,318,125

Semi-Annual Reports    49

Notes to Financial Statements, Continued
	March 31, 2017 (Unaudited)

INCOME FUND (continued)

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class R5 Shares
Shares sold		3,186,249		$	42,614,303			4,605,721		$	61,328,527
Shares issued to shareholders in reinvestment of dividends		54,044			723,148			115,762			1,545,596
Shares repurchased		(1,699,205	)		(22,729,625	)		(6,632,663	)		(88,211,221	)
Net increase (decrease)		1,541,088			20,607,826			(1,911,180	)		(25,337,098	)

LOW DURATION INCOME FUND

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		160,103		$	1,984,603			418,546		$	5,189,601
Shares issued to shareholders in reinvestment of dividends		4,335			53,794			7,788			96,596
Shares repurchased		(450,431	)		(5,589,024	)		(407,683	)		(5,055,468	)
Net increase (decrease)		(285,993	)		(3,550,627	)		18,651			230,729
Class I Shares
Shares sold		141,657		$	1,757,915			968,154		$	12,006,139
Shares issued to shareholders in reinvestment of dividends		8,459			104,951			11,204			139,078
Shares repurchased		(501,306	)		(6,216,969	)		(256,766	)		(3,188,710	)
Net increase (decrease)		(351,190	)		(4,354,103	)		722,592			8,956,507

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Government Fund had purchase and sale transactions of investments (excluding short-term investments) of $23,335,133 and $22,148,984, respectively.

For the six months ended March 31, 2017, the Income Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $615,090,881 and $437,479,606, respectively.

For the six months ended March 31, 2017, the Low Duration Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $2,833,654 and $4,224,431, respectively.

OTHER NOTES

Risks: Each Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, prepayment risk, credit risk, market and economic risk, liquidity risk, structured products risk and, in the case of the Income Fund and Low Duration Fund, the risks associated with investments in non-U.S. issuers. Please see each Fund’s prospectus for a discussion of the risks associated with an investment in the Funds.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

50    Semi-Annual Reports

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Semi-Annual Reports    51

Financial Highlights

    Thornburg Limited Term U.S. Government Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																		RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+		NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS	TOTAL   DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)	NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	13.25		0.07		(0.21	)		(0.14	)		(0.09	)	—		(0.09	)	$13.02		1.07	(g)		0.94	(g)		0.94	(g)		0.94	(g)		(1.04	)	7.68	$	99,631
2016(c)(d)	$	13.26		0.14		0.05			0.19			(0.20	)	—		(0.20	)	$13.25		1.08			0.91			0.91			0.91			1.41		9.78	$	111,874
2015(c)	$	13.27		0.15		0.06			0.21			(0.22	)	—		(0.22	)	$13.26		1.15			0.92			0.92			0.92			1.62		14.15	$	104,933
2014(c)	$	13.36		0.19		(0.02	)		0.17			(0.26	)	—		(0.26	)	$13.27		1.41			0.93			0.93			0.94			1.30		8.14	$	132,916
2013(c)	$	13.86		0.20		(0.39	)		(0.19	)		(0.31	)	—		(0.31	)	$13.36		1.45			0.89			0.89			0.89			(1.38	)	12.18	$	159,225
2012(c)	$	13.90		0.25		0.06			0.31			(0.35	)	—		(0.35	)	$13.86		1.79			0.89			0.89			0.89			2.29		9.89	$	214,749
CLASS C SHARES
2017(b)	$	13.33		0.05		(0.21	)		(0.16	)		(0.07	)	—		(0.07	)	$13.10		0.79	(g)		1.22	(g)		1.22	(g)		1.23	(g)		(1.18	)	7.68	$	41,673
2016	$	13.34		0.11		0.04			0.15			(0.16	)	—		(0.16	)	$13.33		0.81			1.19			1.19			1.20			1.13		9.78	$	48,369
2015	$	13.35		0.12		0.06			0.18			(0.19	)	—		(0.19	)	$13.34		0.88			1.20			1.20			1.21			1.34		14.15	$	46,777
2014	$	13.45		0.15		(0.02	)		0.13			(0.23	)	—		(0.23	)	$13.35		1.14			1.19			1.19			1.20			0.96		8.14	$	51,001
2013	$	13.94		0.16		(0.37	)		(0.21	)		(0.28	)	—		(0.28	)	$13.45		1.17			1.17			1.17			1.17			(1.56	)	12.18	$	73,877
2012	$	13.98		0.21		0.07			0.28			(0.32	)	—		(0.32	)	$13.94		1.51			1.17			1.17			1.17			2.01		9.89	$	102,790
CLASS I SHARES
2017(b)	$	13.26		0.09		(0.22	)		(0.13	)		(0.11	)	—		(0.11	)	$13.02		1.42	(g)		0.59	(g)		0.59	(g)		0.60	(g)		(0.95	)	7.68	$	130,864
2016	$	13.26		0.19		0.05			0.24			(0.24	)	—		(0.24	)	$13.26		1.43			0.57			0.57			0.57			1.83		9.78	$	144,437
2015	$	13.27		0.19		0.06			0.25			(0.26	)	—		(0.26	)	$13.26		1.45			0.62			0.62			0.62			1.93		14.15	$	112,853
2014	$	13.36		0.23		(0.02	)		0.21			(0.30	)	—		(0.30	)	$13.27		1.73			0.61			0.61			0.61			1.62		8.14	$	69,309
2013	$	13.86		0.24		(0.38	)		(0.14	)		(0.36	)	—		(0.36	)	$13.36		1.78			0.56			0.56			0.56			(1.05	)	12.18	$	73,645
2012	$	13.90		0.29		0.07			0.36			(0.40	)	—		(0.40	)	$13.86		2.12			0.56			0.55			0.56			2.63		9.89	$	98,112
CLASS R3 SHARES
2017(b)	$	13.26		0.07		(0.21	)		(0.14	)		(0.09	)	—		(0.09	)	$13.03		1.02	(g)		0.99	(g)		0.99	(g)		1.38	(g)		(1.07	)	7.68	$	13,834
2016	$	13.27		0.14		0.04			0.18			(0.19	)	—		(0.19	)	$13.26		1.03			0.98			0.98			1.30			1.34		9.78	$	28,036
2015	$	13.28		0.14		0.06			0.20			(0.21	)	—		(0.21	)	$13.27		1.09			0.99			0.99			1.35			1.55		14.15	$	16,320
2014	$	13.37		0.18		(0.02	)		0.16			(0.25	)	—		(0.25	)	$13.28		1.35			0.99			0.99			1.31			1.23		8.14	$	13,748
2013	$	13.87		0.18		(0.38	)		(0.20	)		(0.30	)	—		(0.30	)	$13.37		1.35			0.99			0.99			1.27			(1.47	)	12.18	$	15,350
2012	$	13.91		0.23		0.07			0.30			(0.34	)	—		(0.34	)	$13.87		1.69			1.00			0.99			1.29			2.19		9.89	$	15,486
CLASS R4 SHARES
2017(b)	$	13.25		0.07		(0.21	)		(0.14	)		(0.09	)	—		(0.09	)	$13.02		1.02	(g)		0.99	(g)		0.99	(g)		2.14	(g)		(1.07	)	7.68	$	2,501
2016	$	13.26		0.14		0.04			0.18			(0.19	)	—		(0.19	)	$13.25		1.04			0.99			0.99			2.71			1.33		9.78	$	2,097
2015	$	13.27		0.13		0.08			0.21			(0.22	)	—		(0.22	)	$13.26		1.00			0.99			0.99			17.30	(e)		1.55		14.15	$	706
2014(f)	$	13.36		0.14		(0.03	)		0.11			(0.20	)	—		(0.20	)	$13.27		1.57	(g)		0.99	(g)		0.99	(g)		64.66	(e)(g)		0.78		8.14	$	15
CLASS R5 SHARES
2017(b)	$	13.28		0.09		(0.22	)		(0.13	)		(0.11	)	—		(0.11	)	$13.04		1.38	(g)		0.67	(g)		0.67	(g)		1.22	(g)		(0.98	)	7.68	$	4,386
2016	$	13.27		0.17		0.07			0.24			(0.23	)	—		(0.23	)	$13.28		1.30			0.67			0.67			2.05			1.80		9.78	$	570
2015	$	13.27		0.19		0.07			0.26			(0.26	)	—		(0.26	)	$13.27		1.40			0.67			0.67			2.02			1.95		14.15	$	2,170
2014	$	13.36		0.21		—	(h)		0.21			(0.30	)	—		(0.30	)	$13.27		1.59			0.67			0.67			2.87			1.56		8.14	$	1,859
2013	$	13.85		0.24		(0.39	)		(0.15	)		(0.34	)	—		(0.34	)	$13.36		1.83			0.67			0.67			7.28	(e)		(1.09	)	12.18	$	881
2012(i)	$	13.84		0.10		0.07			0.17			(0.16	)	—		(0.16	)	$13.85		1.87	(g)		0.68	(g)		0.67	(g)		44.86	(e)(g)		1.20		9.89	$	299

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Class B shares were converted to Class A shares on August 29, 2016.

(e) Due to the size of net assets and fixed expenses, ratios may appear disproportionate.

(f) Effective date of this class of shares was February 1, 2014.

(g) Annualized.

(h) Net realized and unrealized gain (loss) on investments was less than $0.01 per share.

(i) Effective date of this class of shares was May 1, 2012.

+ Based on weighted average shares outstanding.

See notes to financial statements.

52    Semi-Annual Reports Semi-Annual Reports    53

Financial Highlights

    Thornburg Limited Term Income Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																			RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+	NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS			TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)	NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	13.51	0.12		(0.13	)		(0.01	)		(0.12	)		—			(0.12	)	$13.38		1.73	(e)		0.87	(e)		0.87	(e)		0.87	(e)		(0.08	)	10.24	$	949,143
2016(c)	$	13.32	0.24		0.20			0.44			(0.25	)		—			(0.25	)	$13.51		1.82			0.86			0.86			0.86			3.36		20.56	$	1,111,441
2015(c)	$	13.49	0.26		(0.09	)		0.17			(0.27	)		(0.07	)		(0.34	)	$13.32		1.94			0.87			0.87			0.87			1.27		18.71	$	977,470
2014(c)	$	13.42	0.29		0.19			0.48			(0.30	)		(0.11	)		(0.41	)	$13.49		2.15			0.89			0.89			0.89			3.61		29.41	$	906,708
2013(c)	$	13.72	0.32		(0.22	)		0.10			(0.34	)		(0.06	)		(0.40	)	$13.42		2.33			0.88			0.88			0.88			0.69		36.66	$	1,029,692
2012(c)	$	13.32	0.39		0.52			0.91			(0.42	)		(0.09	)		(0.51	)	$13.72		2.94			0.93			0.93			0.93			7.04		23.72	$	1,049,044
CLASS C SHARES
2017(b)	$	13.49	0.10		(0.13	)		(0.03	)		(0.10	)		—			(0.10	)	$13.36		1.52	(e)		1.08	(e)		1.08	(e)		1.08	(e)		(0.18	)	10.24	$	617,261
2016	$	13.30	0.21		0.20			0.41			(0.22	)		—			(0.22	)	$13.49		1.59			1.08			1.08			1.08			3.13		20.56	$	667,680
2015	$	13.47	0.23		(0.09	)		0.14			(0.24	)		(0.07	)		(0.31	)	$13.30		1.71			1.10			1.10			1.10			1.04		18.71	$	611,555
2014	$	13.39	0.26		0.20			0.46			(0.27	)		(0.11	)		(0.38	)	$13.47		1.92			1.11			1.11			1.11			3.46		29.41	$	593,658
2013	$	13.70	0.28		(0.23	)		0.05			(0.30	)		(0.06	)		(0.36	)	$13.39		2.09			1.12			1.12			1.12			0.38		36.66	$	632,918
2012	$	13.30	0.36		0.52			0.88			(0.39	)		(0.09	)		(0.48	)	$13.70		2.70			1.18			1.18			1.18			6.78		23.72	$	604,314
CLASS I SHARES
2017(b)	$	13.52	0.14		(0.14	)		—			(0.14	)		—			(0.14	)	$13.38		2.11	(e)		0.50	(e)		0.50	(e)		0.50	(e)		0.03		10.24	$	3,062,451
2016	$	13.33	0.29		0.20			0.49			(0.30	)		—			(0.30	)	$13.52		2.17			0.50			0.50			0.50			3.73		20.56	$	2,792,249
2015	$	13.49	0.31		(0.08	)		0.23			(0.32	)		(0.07	)		(0.39	)	$13.33		2.29			0.52			0.52			0.52			1.71		18.71	$	1,982,536
2014	$	13.42	0.33		0.20			0.53			(0.35	)		(0.11	)		(0.46	)	$13.49		2.49			0.54			0.54			0.54			3.98		29.41	$	1,578,168
2013	$	13.73	0.36		(0.23	)		0.13	��		(0.38	)		(0.06	)		(0.44	)	$13.42		2.68			0.53			0.53			0.53			0.98		36.66	$	1,260,449
2012	$	13.32	0.44		0.53			0.97			(0.47	)		(0.09	)		(0.56	)	$13.73		3.27			0.58			0.58			0.58			7.49		23.72	$	1,012,430
CLASS R3 SHARES
2017(b)	$	13.52	0.11		(0.13	)		(0.02	)		(0.11	)		—			(0.11	)	$13.39		1.61	(e)		0.99	(e)		0.99	(e)		1.11	(e)		(0.14	)	10.24	$	106,020
2016	$	13.33	0.23		0.20			0.43			(0.24	)		—			(0.24	)	$13.52		1.69			0.98			0.98			1.10			3.23		20.56	$	104,309
2015	$	13.50	0.24		(0.09	)		0.15			(0.25	)		(0.07	)		(0.32	)	$13.33		1.82			0.99			0.99			1.11			1.16		18.71	$	172,992
2014	$	13.43	0.27		0.19			0.46			(0.28	)		(0.11	)		(0.39	)	$13.50		2.04			0.99			0.99			1.12			3.51		29.41	$	120,013
2013	$	13.73	0.30		(0.22	)		0.08			(0.32	)		(0.06	)		(0.38	)	$13.43		2.22			0.99			0.99			1.14			0.59		36.66	$	81,585
2012	$	13.33	0.39		0.52			0.91			(0.42	)		(0.09	)		(0.51	)	$13.73		2.88			0.99			0.99			1.19			6.97		23.72	$	73,373
CLASS R4 SHARES
2017(b)	$	13.51	0.11		(0.14	)		(0.03	)		(0.11	)		—			(0.11	)	$13.37		1.62	(e)		0.99	(e)		0.99	(e)		1.51	(e)		(0.22	)	10.24	$	7,432
2016	$	13.32	0.23		0.20			0.43			(0.24	)		—			(0.24	)	$13.51		1.70			0.99			0.99			1.97			3.23		20.56	$	6,328
2015	$	13.48	0.24		(0.08	)		0.16			(0.25	)		(0.07	)		(0.32	)	$13.32		1.82			0.98			0.98			1.66			1.24		18.71	$	3,908
2014(d)	$	13.42	0.18		0.07			0.25			(0.19	)		—			(0.19	)	$13.48		1.99	(e)		0.99	(e)		0.99	(e)		61.75	(e)(g)		1.84		29.41	$	47
CLASS R5 SHARES
2017(b)	$	13.51	0.13		(0.13	)		—			(0.13	)		—			(0.13	)	$13.38		1.95	(e)		0.65	(e)		0.65	(e)		0.67	(e)		0.03		10.24	$	91,765
2016	$	13.32	0.27		0.20			0.47			(0.28	)		—			(0.28	)	$13.51		2.05			0.62			0.62			0.72			3.60		20.56	$	71,864
2015	$	13.49	0.29		(0.09	)		0.20			(0.30	)		(0.07	)		(0.37	)	$13.32		2.17			0.64			0.64			0.67			1.50		18.71	$	96,326
2014	$	13.42	0.32		0.19			0.51			(0.33	)		(0.11	)		(0.44	)	$13.49		2.38			0.64			0.64			0.72			3.86		29.41	$	16,825
2013	$	13.72	0.34		(0.21	)		0.13			(0.37	)		(0.06	)		(0.43	)	$13.42		2.52			0.65			0.65			1.01			0.92		36.66	$	8,164
2012(f)	$	13.47	0.16		0.27			0.43			(0.18	)		—			(0.18	)	$13.72		2.96	(e)		0.67	(e)		0.67	(e)		25.61	(e)(g)		3.19		23.72	$	1,322

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Effective date of this Class of shares was February 1, 2014.

(e) Annualized.

(f) Effective date of this Class of shares was May 1, 2012.

(g) Due to the size of net assets and fixed expenses, ratios may appear disproportionate.

+ Based on weighted average shares outstanding.

See notes to financial statements.

54    Semi-Annual Reports Semi-Annual Reports    55

Financial Highlights

    Thornburg Low Duration Income Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+		NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS	DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS	TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)	PORTFOLIO TURNOVER RATE (%)(a)	NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	12.46		0.08		(0.04	)	0.04		(0.08	)	—		(0.08	)	$12.42		1.26	(f)		0.61	(f)		0.61	(f)		1.63	(f)	0.31	14.20	$	6,651
2016(c)	$	12.38		0.11		0.09		0.20		(0.12	)	—		(0.12	)	$12.46		0.89			0.69			0.69			1.74		1.60	42.99	$	10,235
2015(c)	$	12.38		0.08		—	(d)	0.08		(0.08	)	—		(0.08	)	$12.38		0.67			0.70			0.70			2.10		0.68	29.22	$	9,940
2014(c)(e)	$	12.31		0.08		0.08		0.16		(0.09	)	—		(0.09	)	$12.38		0.92	(f)		0.62	(f)		0.61	(f)		3.14	(f)	1.33	23.70	$	6,678
CLASS I SHARES
2017(b)	$	12.45		0.09		(0.04	)	0.05		(0.09	)	—		(0.09	)	$12.41		1.38	(f)		0.50	(f)		0.50	(f)		0.98	(f)	0.37	14.20	$	12,689
2016	$	12.37		0.14		0.08		0.22		(0.14	)	—		(0.14	)	$12.45		1.15			0.48			0.48			1.18		1.81	42.99	$	17,106
2015	$	12.38		0.11		(0.01	)	0.10		(0.11	)	—		(0.11	)	$12.37		0.87			0.50			0.50			1.89		0.80	29.22	$	8,056
2014(e)	$	12.31		0.11		0.07		0.18		(0.11	)	—		(0.11	)	$12.38		1.19	(f)		0.41	(f)		0.41	(f)		3.19	(f)	1.48	23.70	$	3,698

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Net realized and unrealized gain (loss) on investments was less than $0.01 per share.

(e) Fund commenced operations on December 30, 2013.

(f) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

56    Semi-Annual Reports Semi-Annual Reports    57

Expense Examples
	March 31, 2017 (Unaudited)

As a shareholder of a Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	Beginning Account Value 10/1/16		Ending Account Value 3/31/17		Expenses Paid During Period† 10/1/16–3/31/17
LIMITED TERM U.S. GOVERNMENT FUND
Class A Shares
Actual	$	1,000.00	$	989.56	$	4.64
Hypothetical*	$	1,000.00	$	1,020.26	$	4.71
Class C Shares
Actual	$	1,000.00	$	988.24	$	6.07
Hypothetical*	$	1,000.00	$	1,018.83	$	6.16
Class I Shares
Actual	$	1,000.00	$	990.49	$	2.95
Hypothetical*	$	1,000.00	$	1,021.97	$	2.99
Class R3 Shares
Actual	$	1,000.00	$	989.31	$	4.91
Hypothetical*	$	1,000.00	$	1,020.00	$	4.98
Class R4 Shares
Actual	$	1,000.00	$	989.28	$	4.92
Hypothetical*	$	1,000.00	$	1,019.99	$	4.99
Class R5 Shares
Actual	$	1,000.00	$	990.15	$	3.32
Hypothetical*	$	1,000.00	$	1,021.60	$	3.37
LIMITED TERM INCOME FUND
Class A Shares
Actual	$	1,000.00	$	999.21	$	4.33
Hypothetical*	$	1,000.00	$	1,020.60	$	4.37
Class C Shares
Actual	$	1,000.00	$	998.16	$	5.36
Hypothetical*	$	1,000.00	$	1,019.57	$	5.41
Class I Shares
Actual	$	1,000.00	$	1,000.32	$	2.48
Hypothetical*	$	1,000.00	$	1,022.45	$	2.50
Class R3 Shares
Actual	$	1,000.00	$	998.61	$	4.93
Hypothetical*	$	1,000.00	$	1,020.00	$	4.98
Class R4 Shares
Actual	$	1,000.00	$	997.85	$	4.94
Hypothetical*	$	1,000.00	$	1,019.99	$	4.99
Class R5 Shares
Actual	$	1,000.00	$	1,000.28	$	3.25
Hypothetical*	$	1,000.00	$	1,021.68	$	3.29
LOW DURATION INCOME FUND
Class A Shares
Actual	$	1,000.00	$	1,003.13	$	3.03
Hypothetical*	$	1,000.00	$	1,021.91	$	3.06
Class I Shares
Actual	$	1,000.00	$	1,003.71	$	2.50
Hypothetical*	$	1,000.00	$	1,022.44	$	2.52

† Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for each class (A: 0.94%; C: 1.22%; I: 0.59%; R3: 0.99%; R4: 0.99%; R5: 0.67%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

† Thornburg Limited Term Income Fund expenses are equal to the annualized expense ratio for each class (A: 0.87%; C: 1.08%; I: 0.50%; R3: 0.99%; R4: 0.99%; R5: 0.65%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

† Thornburg Low Duration Income Fund expenses are equal to the the annualized expense ratio for each class (A: 0.61%; I: 0.50%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

58    Semi-Annual Reports

Other Information
	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for each of the Funds’ voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Funds file with the Securities and Exchange Commission schedules of their portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds’ Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds also make this information available on their website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Reports    59

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

60    Semi-Annual Reports

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

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Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH174

Semi-Annual Report March 31, 2017 THORNBURG STRATEGIC INCOME FUND

About Thornburg Investment Management

It’s more than what we do. It’s how we do it.

At Thornburg, we are very different in how we think, invest, and are structured. We believe this difference is what makes us successful in helping individuals reach their long-term financial goals.

How we

Flexible Perspective

Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value.

Collaboration

Collectively, we hone ideas via borderless cross-pollination for better judgment and better results.

How we

Portfolio Construction

Disciplined construction guided more by our convictions than convention.

CONVICTION

Thorough analysis and our relative-value framework lead to conviction in our securities selection.

UNCONVENTIONAL

Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point.

How we’re

Structured for Excellence

How we think and how we invest is made possible by how we’re structured.

TEAM APPROACH FAR FROM THE HERD ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg Strategic Income Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	18
Statement of Operations	20
Statements of Changes in Net Assets	22
Notes to Financial Statements	23
Financial Highlights	34
Expense Example	36
Other Information	37
Trustees’ Statement to Shareholders.	38

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	TSIAX	885-215-228
Class C	TSICX	885-215-210
Class I	TSIIX	885-215-194
Class R3	TSIRX	885-216-887
Class R4	TSRIX	885-216-754
Class R5	TSRRX	885-216-879

Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. This effect is more pronounced for longer-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. Investments in lower rated and unrated bonds may be more sensitive to default, downgrades, and market volatility; these investments may also be less liquid than higher rated bonds. Investments in derivatives are subject to the risks associated with the securities or other assets underlying the pool of securities, including illiquidity and difficulty in valuation. Investments in equity securities are subject to additional risks, such as greater market fluctuations. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Semi-Annual Report    3

Letter to Shareholders
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

April 20, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg Strategic Income Fund for the six months ended March 31, 2017. The net asset value (NAV) of a Class A share of Thornburg Strategic Income Fund increased 9 cents in the period to $11.65. If you were invested for the entire period, you received dividends of 16.1 cents per share. If you reinvested your dividends, you received 16.2 cents per share. Dividends per share varied for other share classes to account for class-specific expenses. Combining income and change in price, Class A shares of Thornburg Strategic Income Fund produced a total return of 2.19% (without sales charge) over the six-month period. The Bloomberg Barclays U.S. Universal Bond Index produced a return of negative 1.54%, and a blended index of 80% Bloomberg Barclays U.S. Aggregate Bond Index and 20% MSCI World Index produced a negative 0.14% total return over the same time period.

Despite yields having bottomed in July 2016, many investors’ portfolios were caught off guard as yields rose faster than most expected, following the surprise election of Donald Trump. While not immune to the rise in rates during the first half of the period, Thornburg Strategic Income Fund ultimately outperformed its benchmarks, delivering positive returns in a tumultuous period for fixed income investors. While yields moved up dramatically during the fourth quarter of 2016, both investment-grade and high-yield corporate spreads tightened. Risk market optimism heading into 2017 carried through most of the first quarter. Fixed income markets ebbed and flowed in January and February; that is, until the last hour of trading on the last day of the month. A duo of U.S. Federal Reserve (the Fed) presidents gave a hawkish message two weeks before the March meeting, sending the implied probability of a Fed rate hike from around 50% to 75% in a matter of an hour. Ultimately, the Fed would raise rates in March for the third time in nearly a decade.

Corporate investment-grade issuance set a record during the first quarter, yet, as evidenced by the declining spreads, the market remained strong despite increased supply. Both investment-grade and bank-loan funds experienced significant inflows, supporting the broader market. With respect to high yield, equity market hesitation during the first weeks of March proved a headwind leading to outflows, while gradually higher trending equity markets helped keep returns in solidly positive territory.

In our view, the market continues to feel awash in complacency, given both known risks and unknown risks lurking beneath the surface. Currently, the U.S. Treasury market suggests, at a minimum, the potential for risk on the horizon given the fall in longer-dated yields. Yet, credit spreads and asset prices generally remain at very lofty levels. We have seen a very minor sell off, but this “correction” should be taken with a grain of salt. The option-adjusted spread on the high-yield index has reverted back to near beginning-of-year levels, despite a rally to start the year; however, this still represents spreads at about 280 basis points tighter than where we began 2016.

Geopolitical risks continue to represent significant potential concern for investors. The upcoming final round of the French presidential election, Korea and Russia tensions, and a challenging political backdrop should represent immediate challenges to confidence. Further, Brexit negotiations beginning in earnest, fiscal and tax reform, inflationary pressures on the employment side, the very real possibility of corporate interest tax deductibility being used to create revenue for other tax cuts, difficulties thus far with Affordable Care Act and Border Adjustment Tax legislation, are all areas that remain unresolved. The aforementioned challenges should test the willingness of corporations and consumers to move forward with longer-dated purchases or expansions. In fact, despite strong initial leading indicators of growth, we have yet to experience a follow-through in terms of actual realized strong economic data. On top of actual growth concerns/questions, technical pressures from the potential unwinding of quantitative easing and higher U.S. Treasury rates don’t appear to be broadly considered by the market.

While there are challenges to strong growth, we believe that the consumer remains relatively strong, and the economy is likely to hum along at around a 2% rate (despite a likely bad 1Q Gross Domestic Product print) for some time. Corporate balance sheets are no doubt stretched, but manageable. And while we wouldn’t call it secular stagnation, we are clearly in a lower growth environment globally. Debt expansion appears to have run its course supporting growth, and this may be as good as it is going to get in terms of growth this cycle. All of this points to a high likelihood that we find ourselves in the later stages of the expansion, and as such investments need to reflect a balance of risks.

Broadly speaking, we believe that credit is overvalued. However, there remains no clear catalyst for the downside. Ultimately, we prefer to focus a little higher in quality, hold more liquidity (cash), and focus on defensive income. The defensive portion being paramount to our thinking. Considering a lack of an immediate catalyst to the downside and the all-in extremely low yields on very high-quality instruments, we remain significantly invested in credit. However, we do so with a keen eye toward defensive balance sheets and counter, or less cyclical cash flows than the market in general. One inarguable truth in the market today is that investors simply are not paid to take significant risk. Spread differentials by rating, leverage, cyclicality, etc. are all extremely low. While there are times to stretch, now is not one of them.

4    Semi-Annual Report

Letter To Shareholders,
Continued	March 31, 2017 (Unaudited)
Thornburg Strategic Income Fund

Throughout the period, we expressed a defensive posture in multiple ways. Given our guiding philosophy of managing a diversified portfolio to be robust across many macro environments, we continued to build balanced risk exposures to avoid overdependence upon any singular outcome.

We remained cautious around interest rate risk and, as a result, the portfolio ended the period with an effective duration statistic towards the lower end of its historical range. During the period, we added floating-rate bond exposure, as well as high-quality investment-grade exposure on the front end of the curve.

Additionally, within our high-yield holdings, we continued to upgrade quality and reduce potential volatility. All high-yield bonds are not created equal. Focusing on shorter maturities, less cyclical cash flows, and companies focused on the stronger segments of the economy will generally lower volatility at the portfolio level in times of stress. To this end, we have added interesting opportunities at the front end of the curve and focused on more defensive names over time, continuing this trend during the quarter. Furthermore, we continued to upgrade the overall quality of this portion of the portfolio by taking advantage of the narrowing spread differentials between the higher- and lower-quality ends of the high-yield spectrum, thus swapping into higher-rated issues where appropriate.

While portfolio objectives can range from managing yield within price volatility constraints to maximizing total returns, all investors must consider the risk/reward trade-offs inherent in various investments. Higher yields tend to come with higher price volatility, whether driven by credit, duration, or both. On the other hand, defensive products offer limited volatility but produce low-yield returns. The key to a successful portfolio is balancing these competing variables into an optimal combination that meets overall objectives. The problem is most organizations aren’t structured to find relative value across the available spectrum of investment opportunities. The “risk bucket” methodologies utilized by the majority of players within the space, may be using a sub-optimal structure for the fixed income environment we are moving into. We believe our unique approach and structure offers our investors an edge in this strange and tumultuous environment.

Thank you for investing alongside us.

Sincerely,

Jason H. Brady,CFA	Lon R. Erickson,CFA	Jeff Klingelhofer,CFA
Portfolio Manager	Portfolio Manager	Portfolio Manager
CEO, President, and Managing Director	Managing Director	Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			SINCE INCEP.
Class A Share (Incep: 12/19/07)
Without sales charge		7.99	%		2.64	%		4.73	%		6.37	%
With sales charge		3.15	%		1.09	%		3.76	%		5.85	%
Class C Shares (Incep: 12/19/07)
Without sales charge		7.29	%		2.04	%		4.15	%		5.77	%
With sales charge		6.29	%		2.04	%		4.15	%		5.77	%
Class I Shares (Incep: 12/19/07)		8.29	%		2.97	%		5.08	%		6.70	%
Class R3 Shares (Incep: 5/1/12)		7.89	%		2.54	%		—			4.60	%
Class R4 Shares (Incep: 2/1/14)		7.88	%		2.60	%		—			3.13	%
Class R5 Shares (Incep: 5/1/12)		8.22	%		2.91	%		—			4.93	%
Bloomberg Barclays U.S. Universal Index (Since 12/19/07)		1.92	%		2.99	%		2.83	%		4.38	%
Blended Index (Since 12/19/07)		3.20	%		3.34	%		3.82	%		4.32	%

GROWTH OF HYPOTHETICAL $10,000 INVESTMENT

30-DAY YIELDS, A SHARES

(with sales charge)

SEC Yield	3.23	%
Annualized Distribution Yield	3.33	%

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no sales charge for Class I, R3, R4, and R5 shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.24%; C shares, 1.99%; I shares, 0.91%; R3 shares, 3.09%; R4 shares, 2.50%; R5 shares, 1.37%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: A shares, 1.13%; C shares, 1.80%; I shares, 0.69%; R3 shares, 1.25%; R4 shares, 1.25%; R5 shares, 0.69%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus. Unsubsidized SEC Yield: 3.17%. Unsubsidized Annualized Distribution Yield: 3.29%

Glossary

The Bloomberg Barclays U.S. Aggregate Bond Index is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index.

The Bloomberg Barclays US Universal Bond Index represents the union of the U.S. Aggregate Index, U.S. Corporate High-Yield, Investment Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD denominated, taxable bonds that are rated either investment-grade or below investment-grade.

Thornburg Strategic Income Fund’s Blended Index is composed of 80% Bloomberg Barclays U.S. Aggregate Bond Index and 20% MSCI World Index, rebalanced monthly. The MSCI World Index is an unmanaged market-weighted index that consists of securities traded in 23 of the world’s most developed countries. Securities are listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand, and the Far East. The index is calculated with net dividends reinvested in U.S. dollars.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The Annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.

Basis Point (bp) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Floating-Rate Securities (Floater) – Debt instrument whose coupon rate adjusts with short-term interest rate changes.

OAS (Option Adjusted Spread) – The flat spread over the treasury yield curve required to discount a security payment to match its market price.

Quantitative Easing (QE) – An unconventional monetary policy in which a central bank purchases financial assets from the market in order to lower interest rates and increase the money supply.

SEC Yield – A yield computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

6    Semi-Annual Report

Fund Summary
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund’s primary investment goal is to seek a high level of current income. The Fund’s secondary investment goal is some long-term capital appreciation.

The Fund pursues its investment goals by investing in a broad range of income-producing investments from throughout the world, primarily including debt obligations and income-producing stocks. The Fund expects, under normal conditions, to invest a majority of its assets in debt obligations, but the relative proportions of the Fund’s investments in debt obligations and in income-producing stocks can be expected to vary over time.

PORTFOLIO COMPOSITION

Corporate Bonds	63.8	%
Asset-backed Securities	14.5	%
Bank Loans	5.0	%
Preferred Stock	1.9	%
Commercial Mortgage-backed Securities	1.5	%
Foreign Treasury	1.0	%
Municipal Bonds	1.0	%
Collateralized Mortgage Obligation	0.4	%
Common Stock	0.4	%
Government Agency	0.3	%
Cash & Cash Equivalents	10.1	%

FIXED INCOME CREDIT QUALITY*

* Excludes equity securities.

A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Credit quality ratings for Thornburg’s global fixed income portfolios used ratings from Moody’s Investors Service. Where Moody’s ratings are not available, we have used Standard & Poor’s ratings. Where neither rating is available, we have used ratings from other nationally recognized statistical rating organizations (NRSROs). “NR” = not rated.

TOP TEN INDUSTRY GROUPS

Energy	8.6	%
Diversified Financials	8.5	%
Telecommunication Services	5.7	%
Media	5.0	%
Capital Goods	3.8	%
Materials	3.8	%
Technology Hardware & Equipment	3.5	%
Commercial & Professional Services	3.5	%
Software & Services	3.1	%
Transportation	3.1	%

COUNTRY EXPOSURE**

United States	70.5	%
Canada	3.9	%
Mexico	2.1	%
Brazil	1.8	%
Sweden	1.3	%
United Kingdom	1.2	%
Luxembourg	0.9	%
Australia	0.7	%
Cayman Islands	0.6	%
Jamaica	0.6	%
Netherlands	0.6	%
France	0.6	%
Guatemala	0.5	%
Morocco	0.5	%
Chile	0.4	%
Belgium	0.4	%
Ireland	0.4	%
Mauritius	0.4	%
Romania	0.4	%
South Africa	0.3	%
Barbados	0.3	%
Singapore	0.3	%
South Korea	0.3	%
Russia	0.3	%
Hong Kong	0.2	%
Bermuda	0.2	%
Switzerland	0.2	%
Panama	0.1	%
Cash & Cash Equivalents	10.1	%

** The country assignment of each holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived.

There is no guarantee that the Fund will meet its investment objectives.

All portfolio information is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    7

Schedule of Investments
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 0.35%
ENERGY — 0.35%
Oil, Gas & Consumable Fuels — 0.35%
a,e Malamute Energy, Inc.		847	$	8,893
b ROMGAZ SA-GDR		531,954		3,728,998
				3,737,891
TOTAL COMMON STOCK (Cost $5,258,023)				3,737,891
PREFERRED STOCK — 1.85%
BANKS — 0.28%
Banks — 0.28%
GMAC Capital Trust I Pfd, 8.125%		115,244		2,930,655
				2,930,655
ENERGY — 0.23%
Oil, Gas & Consumable Fuels — 0.23%
a,e Crestwood Equity Partners		256,000		2,500,147
				2,500,147
MISCELLANEOUS — 1.02%
U.S. Government Agencies — 1.02%
Farm Credit Bank of Texas Pfd, 10.00%		1,000		1,227,500
b Cobank, ACB Pfd, 6.25%		50,000		5,262,500
b AgriBank, FCB Pfd, 6.875%		40,000		4,282,500
				10,772,500
REAL ESTATE — 0.06%
Equity Real Estate Investment Trusts — 0.06%
VEREIT, Inc. Pfd, 6.70%		25,857		664,525
				664,525
TELECOMMUNICATION SERVICES — 0.26%
Wireless Telecommunication Services — 0.26%
b,c Centaur Funding Corp. Pfd, 9.08%		2,380		2,772,700
				2,772,700
TOTAL PREFERRED STOCK (Cost $18,742,533)				19,640,527
ASSET BACKED SECURITIES — 12.57%
ADVANCE RECEIVABLES — 0.54%
b New Residential Advance Receivables Trust, Series 2016-T2 Class AT2, 2.575%, 10/15/2049		$5,000,000		4,946,875
b SPS Servicer Advance Receivables Trust, Series 2016-T1 Class AT1, 2.53%, 11/16/2048		800,000		797,384
				5,744,259
AUTO RECEIVABLES — 1.17%
b Drive Auto Receivables Trust, 2.59%, 12/16/2019		4,969,112		4,979,762
b DT Auto Owner Trust, Series 2016-4A Class A, 1.44%, 11/15/2019		1,335,939		1,333,550
b Foursight Capital Automobile Receivables Trust, Series 2016-1 Class A2, 2.87%, 10/15/2021		3,962,417		3,977,609
a,b OSCAR US Funding Trust, Series 2016-2A Class A2A, 2.31%, 11/15/2019		2,100,000		2,100,000
				12,390,921
COMMERCIAL MTG TRUST — 1.42%
b Capital Automotive REIT, Series 2012-1A Class A, 4.70%, 7/15/2042		2,782,174		2,786,950
b CFCRE Commercial Mortgage Trust, Series 2011-C1 Class C, 6.127%, 4/15/2044		6,200,000		6,379,649
Citigroup Commercial Mortgage Trust, Series 2004-HYB2 Class B1, 3.336%, 3/25/2034		79,540		65,112
b Credit Suisse Mortgage Trust, Series 2016-BDWN Class E, 12.412%, 2/15/2029		3,000,000		3,014,986
b FREMF Mortgage Trust, Series 2013-KF02 Class B Floating Rate Note, 3.779%, 12/25/2045		598,350		605,002
b FREMF Mortgage Trust, Series 2016-KF24 Class B Floating Rate Note, 5.779%, 10/25/2026		2,089,870		2,183,538
				15,035,237
OTHER ASSET BACKED — 6.82%
b 321 Henderson Receivables, LLC, Series 2006-3A Class A1, 0.968%, 9/15/2041		2,996,825		2,822,932
b 321 Henderson Receivables, LLC, Series 2014-1A Class A, 3.96%, 3/15/2063		5,445,194		5,303,061
b Aircraft Certificate Owner Trust, Series 2003-1A Class E, 7.001%, 9/20/2022		1,915,954		2,062,045
b BCC Funding Corp., Series 2016-1 Class A1, 1.10%, 9/20/2017		593,789		593,286
b Diamond Resorts Owner Trust, Series 2014-1 Class A, 2.54%, 5/20/2027		1,105,429		1,105,333
b Dominos Pizza Master Issuer, LLC, Series 2012-1A Class A2, 5.216%, 1/25/2042		5,808,272		5,917,480
b,c ECAF Ltd., Series 2015-1A Class B1, 5.802%, 6/15/2040		6,818,710		6,545,962
b Engs Commercial Finance Trust, Series 2016-1A Class A1, 1.25%, 11/22/2017		1,233,831		1,233,995
b Fairway Outdoor Funding, LLC, Series 2012-1 Class B, 8.835%, 10/15/2042		3,000,000		3,055,286
b,c Global SC Finance SRL, Series 2014-1A Class A1, 3.19%, 7/17/2029		3,483,333		3,365,813

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
b JPR Royalty, LLC, 10.50%, 9/1/2020	$	2,000,000	$	1,000,000
b Motel 6 Trust, Series 2015-MTL6 Class B, 3.298%, 2/5/2030		3,470,000		3,468,476
a,b Northwind Holdings, LLC, Series 2007-1A Class A1 Floating Rate Note, 1.622%, 12/1/2037		612,500		570,238
b OnDeck Asset Securitization Trust II, LLC, Series 2016-1A Class A, 4.21%, 5/17/2020		4,470,000		4,443,872
b SBA Tower Trust, 3.598%, 4/15/2043		1,080,000		1,080,252
b SBA Tower Trust, Series 2012-1 Class C, 2.933%, 12/9/2042		625,000		625,308
b SBA Tower Trust, Series 2015-1 Class C, 3.156%, 10/15/2045		3,750,000		3,769,125
b SBA Tower Trust, Series 2016-1 Class C, 2.877%, 7/15/2021		2,275,000		2,261,600
a,b Scala Funding Co., Series 2016-1 Class B, 5.21%, 2/15/2021		4,000,000		4,016,000
b Sierra Receivables Funding Co., LLC, Series 2015-2A Class A, 2.43%, 6/20/2032		4,851,412		4,841,544
b SolarCity LMC, LLC, Series 2013-1 Class A, 4.80%, 11/20/2038		2,864,419		2,828,633
b SolarCity LMC, LLC, Series 2014-1 Class A, 4.59%, 4/20/2044		3,016,744		2,983,904
b Sonic Capital, LLC, Series 2016-1A Class A2, 4.472%, 5/20/2046		3,081,917		3,037,453
b VB-S1 Issuer LLC, Series 16-1A Class C, 3.065%, 6/15/2046		3,100,000		3,053,291
b Westgate Resorts, Series 2016-1A Class A, 3.50%, 12/20/2028		2,243,026		2,229,939
				72,214,828
RESIDENTIAL MTG TRUST — 1.15%
Bear Stearns ARM Mortgage, Series 2003-6 Class 2B-1, 2.905%, 8/25/2033		141,839		108,811
b Citigroup Mortgage Loan Trust, Inc., Series 2014-A Class A, 4.00%, 1/25/2035		2,499,702		2,572,732
Countrywide, Series 2005-11 Class AF3, 4.676%, 2/25/2036		191,816		192,877
b CS First Boston Mortgage Securities Co., Series 2005-CF1 Class M1, 1.682%, 3/25/2045		741,021		727,659
Merrill Lynch Mortgage Investors Trust, Series 2004-A4 Class M1, 2.855%, 8/25/2034		253,758		232,122
Morgan Stanley Capital, Inc., Series 2005-HE7 Class A2C, 1.302%, 11/25/2035		472,873		473,210
a,b Senior Homeowner Assistance Program, Series 2013-RM1 Class A, 4.00%, 5/26/2053		1,626,203		1,616,445
Structured Asset Securities Corp., Series 2004-20 Class 7A1, 5.25%, 11/25/2034		472,224		485,960
b TAL Advantage V, LLC, Series 2014-1A Class A, 3.51%, 2/22/2039		6,052,083		5,809,969
				12,219,785
STUDENT LOAN — 1.47%
Access Group, Inc., Series 2005-A Class A3, 1.438%, 7/25/2034		3,688,494		3,460,043
b Earnest Student Loan Program, LLC, Series 2016-C Class A2, 2.68%, 7/25/2035		3,085,649		2,987,910
b Nelnet Student Loan Trust, Series 2016-A Class A1A, 2.528%, 12/26/2040		4,100,408		4,100,404
SLM Student Loan Trust, Series 2008-2 Class A3 Floating Rate Note, 1.788%, 4/25/2023		1,416,316		1,395,732
b Social Professional Loan Program, LLC, Series 2014-A Class A2, 3.02%, 10/25/2027		1,840,510		1,860,897
b Social Professional Loan Program, LLC, Series 2014-B Class A1 Floating Rate Note, 2.028%, 8/25/2032		1,781,668		1,806,314
				15,611,300
TOTAL ASSET BACKED SECURITIES (Cost $135,243,092)				133,216,330
CORPORATE BONDS — 63.30%
AUTOMOBILES & COMPONENTS — 0.20%
Auto Components — 0.20%
b,c Nexteer Automotive Group Ltd., 5.875%, 11/15/2021		2,000,000		2,075,000
				2,075,000
BANKS — 1.35%
Banks — 1.35%
Bank of America Corp., 4.20%, 8/26/2024		3,200,000		3,258,614
c Barclays plc Floating Rate Note, 2.635%, 1/10/2023		6,000,000		6,063,984
c Royal Bank of Scotland Group plc, 6.125%, 12/15/2022		2,000,000		2,117,846
b,c Sberbank of Russia, 5.50%, 2/26/2024		2,750,000		2,828,540
				14,268,984
CAPITAL GOODS — 3.85%
Aerospace & Defense — 0.28%
b CBC Ammo, LLC, 7.25%, 11/15/2021		2,970,000		2,955,150
Building Products — 0.29%
b,c Ardagh Packaging Group Ltd., 4.289%, 5/15/2021		3,000,000		3,071,250
Construction & Engineering — 1.30%
URS Corp., 3.85%, 4/1/2017		7,310,000		7,310,000
b Zachry Holdings, Inc., 7.50%, 2/1/2020		6,310,000		6,499,300
Electrical Equipment — 0.36%
b,c Sensata Technologies UK Finance Co., 6.25%, 2/15/2026		3,550,000		3,763,000
Machinery — 0.51%
b,c Automation Tooling Systems, 6.50%, 6/15/2023		3,125,000		3,265,625
Mueller Industries, Inc., 6.00%, 3/1/2027		2,132,000		2,116,010

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
Trading Companies & Distributors — 1.11%
b International Lease Finance Corp., 7.125%, 9/1/2018	$	8,000,000	$	8,549,984
b Wajax Corp. (CAD), 6.125%, 10/23/2020		4,210,000		3,245,548
				40,775,867
COMMERCIAL & PROFESSIONAL SERVICES — 2.86%
Commercial Services & Supplies — 1.04%
b ACCO Brands Corp., 5.25%, 12/15/2024		2,000,000		2,010,000
RR Donnelley & Sons Co., 7.875%, 3/15/2021		4,000,000		4,300,000
RR Donnelley & Sons Co., 8.875%, 4/15/2021		4,300,000		4,676,250
Professional Services — 1.82%
Dun & Bradstreet, Inc., 4.25%, 6/15/2020		4,185,000		4,346,863
b Nielsen Finance, LLC, 5.00%, 4/15/2022		7,420,000		7,586,950
b ServiceMaster Co., LLC, 5.125%, 11/15/2024		3,330,000		3,413,250
Verisk Analytics, Inc., 4.00%, 6/15/2025		3,920,000		3,984,296
				30,317,609
COMMERCIAL SERVICES & SUPPLIES — 0.38%
Diversified Support Services — 0.38%
Lavare Holding AB (SEK), 4.402%, 4/4/2019		35,000,000		4,007,522
				4,007,522
CONSUMER DURABLES & APPAREL — 1.36%
Leisure Products — 0.82%
Mattel, Inc., 1.70%, 3/15/2018		6,235,000		6,224,432
Vista Outdoor, Inc., 5.875%, 10/1/2023		2,530,000		2,460,425
Textiles, Apparel & Luxury Goods — 0.54%
b Hanesbrands, Inc., 4.625%, 5/15/2024		3,980,000		3,925,275
Under Armour, Inc., 3.25%, 6/15/2026		2,000,000		1,826,366
				14,436,498
CONSUMER SERVICES — 1.61%
Diversified Consumer Services — 1.27%
a,b Laureate Education, Inc., 10.00%, 9/1/2019		8,864,000		9,218,560
b Nord Anglia Education Finance, LLC (CHF), 5.75%, 7/15/2022		3,985,000		4,197,249
Hotels, Restaurants & Leisure — 0.34%
b Aramark International Finance (EUR), 3.125%, 4/1/2025		500,000		539,454
b Aramark Services, Inc., 5.00%, 4/1/2025		3,000,000		3,090,000
				17,045,263
DIVERSIFIED FINANCIALS — 7.59%
Capital Markets — 2.92%
Ares Capital Corp., 4.875%, 11/30/2018		7,000,000		7,262,773
b Ares Finance Co., LLC, 4.00%, 10/8/2024		4,025,000		3,769,352
b,c BTG Investments LP, 4.50%, 4/17/2018		4,750,000		4,641,605
c Credit Suisse Group Funding (Guernsey) Ltd., 3.80%, 9/15/2022		2,450,000		2,483,340
FS Investment Corp., 4.00%, 7/15/2019		6,286,000		6,340,870
Goldman Sachs Group, Inc. Floating Rate Note, 2.061%, 10/23/2019		5,895,000		5,957,823
b MSCI, Inc., 4.75%, 8/1/2026		400,000		404,000
Consumer Finance — 1.37%
Ally Financial, Inc., 4.75%, 9/10/2018		4,000,000		4,110,000
First Cash Financial Services, Inc., 6.75%, 4/1/2021		10,000,000		10,425,000
Diversified Financial Services — 3.30%
b Athene Global Funding, 2.875%, 10/23/2018		4,725,000		4,752,655
b,c CFG Holdings Ltd./CFG Finance, LLC, 11.50%, 11/15/2019		4,000,000		4,060,000
b Citicorp, 8.04%, 12/15/2019		186,087		212,344
c Credit Suisse Group Ltd., 3.80%, 6/9/2023		400,000		401,638
General Electric Capital Corp. (SEK), 2.625%, 1/16/2018		24,000,000		2,732,186
b,c Genpact Luxembourg S.a.r.l., 3.70%, 4/1/2022		3,000,000		3,017,388
Morgan Stanley, 2.441%, 4/21/2021		6,660,000		6,830,909
b MSCI, Inc., 5.75%, 8/15/2025		2,640,000		2,805,000
b MSCI, Inc., 5.25%, 11/15/2024		1,625,000		1,710,312
S&P Global, Inc., 4.00%, 6/15/2025		1,590,000		1,634,210
S&P Global, Inc., 3.30%, 8/14/2020		1,975,000		2,017,698
b TMX Finance, LLC/Titlemax Finance, 8.50%, 9/15/2018		5,235,000		4,816,200
				80,385,303

10    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
ENERGY — 7.65%
Energy Equipment & Services — 1.12%
Compressco Partners, L.P., 7.25%, 8/15/2022	$	4,800,000	$	4,560,000
b Enviva Partners, LP, 8.50%, 11/1/2021		1,900,000		2,014,000
Oceaneering International, Inc., 4.65%, 11/15/2024		4,075,000		4,102,294
b,c,d,e Schahin II Finance Co. (SPV) Ltd., 5.875%, 9/25/2023		10,684,600		1,228,729
Oil, Gas & Consumable Fuels — 6.53%
b Citgo Holding, Inc., 10.75%, 2/15/2020		980,000		1,053,500
b Citgo Petroleum Corp., 6.25%, 8/15/2022		450,000		455,625
b Colorado Interstate Gas Co., LLC/Colorado Interstate Issuing Corp., 4.15%, 8/15/2026		4,500,000		4,398,053
Energy Transfer Partners LP, 4.052%, 11/1/2066		1,200,000		1,014,000
Enterprise Products Operating LP, 7.034%, 1/15/2068		1,400,000		1,450,260
b Florida Gas Transmission Co., LLC, 3.875%, 7/15/2022		4,765,000		4,886,298
b Florida Gas Transmission Co., LLC, 4.35%, 7/15/2025		2,224,000		2,302,367
Global Partners LP/GLP Finance Corp., 6.25%, 7/15/2022		4,975,000		4,875,500
Gulf South Pipeline Co., LP, 4.00%, 6/15/2022		4,860,000		4,953,375
b Gulfstream Natural Gas System, LLC, 4.60%, 9/15/2025		5,515,000		5,803,434
HollyFrontier Corp., 5.875%, 4/1/2026		3,500,000		3,716,013
a,b,d,e Linc Energy, 12.50%, 10/31/2017		6,617,950		66
a,b,d,e Linc Energy, 9.625%, 10/31/2017		1,100,236		45,660
NGL Energy Partners LP, 6.875%, 10/15/2021		3,000,000		3,052,500
Northern Tier Energy, LLC, 7.125%, 11/15/2020		6,450,000		6,708,000
b Northwest Pipeline, LLC, 4.00%, 4/1/2027		2,000,000		1,999,330
b,c Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/1/2023		2,497,238		923,978
Plains All American Pipeline LP, 8.75%, 5/1/2019		1,000,000		1,127,874
b,c QGOG Atlantic/Alaskan Rigs Ltd., 5.25%, 7/30/2019		557,550		543,611
d,e RAAM Global Energy Co., 12.50%, 10/1/2015		2,000,000		30,000
b Rockies Express Pipeline, LLC, 6.85%, 7/15/2018		2,000,000		2,090,000
Summit Midstream Holdings, LLC, 5.50%, 8/15/2022		7,010,000		7,010,000
Tennessee Gas Pipeline Co., L.L.C., 7.00%, 3/15/2027		1,352,000		1,603,118
Tesoro Logistics LP, 6.125%, 10/15/2021		3,375,000		3,531,094
b Texas Gas Transmission, LLC, 4.50%, 2/1/2021		940,000		980,811
Transcontinental Gas Pipe Line Co., LLC, 7.85%, 2/1/2026		3,600,000		4,622,555
				81,082,045
FOOD & STAPLES RETAILING — 0.85%
Food & Staples Retailing — 0.85%
b C&S Group Enterprises, LLC, 5.375%, 7/15/2022		3,935,000		3,885,812
Whole Foods Market, Inc., 5.20%, 12/3/2025		4,830,000		5,133,136
				9,018,948
FOOD, BEVERAGE & TOBACCO — 1.86%
Beverages — 0.55%
Ambev International Finance Co., Ltd. (BRL), 9.50%, 7/24/2017		2,000,000		627,995
b,c Central America Bottling Corp., 5.75%, 1/31/2027		5,000,000		5,182,300
Food Products — 0.92%
B&G Foods, Inc., 5.25%, 4/1/2025		1,000,000		1,008,750
b,c Barry Callebaut Services NV, 5.50%, 6/15/2023		4,000,000		4,291,632
b,c BRF S.A., 4.75%, 5/22/2024		4,650,000		4,482,600
Tobacco — 0.39%
b Vector Group Ltd., 6.125%, 2/1/2025		4,000,000		4,085,000
				19,678,277
HEALTH CARE EQUIPMENT & SERVICES — 2.11%
Health Care Providers & Services — 2.11%
b Covenant Surgical Partners, Inc., 8.75%, 8/1/2019		6,125,000		5,818,750
DaVita Healthcare Partners, Inc., 5.00%, 5/1/2025		3,450,000		3,458,625
HCA, Inc., 5.25%, 4/15/2025		1,520,000		1,615,000
HCA, Inc., 4.75%, 5/1/2023		1,735,000		1,808,737
HCA, Inc., 4.50%, 2/15/2027		1,475,000		1,475,000
b LifePoint Health, Inc., 5.375%, 5/1/2024		3,000,000		3,051,000
WellCare Health Plans, Inc., 5.25%, 4/1/2025		5,000,000		5,116,500
				22,343,612
HOUSEHOLD & PERSONAL PRODUCTS — 0.99%
Household Products — 0.86%
Edgewell Personal Care, 4.70%, 5/24/2022		5,990,000		6,229,600
b Energizer Holdings, Inc., 5.50%, 6/15/2025		2,850,000		2,907,000

Semi-Annual Report    11

Schedule of Investments, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
Personal Products — 0.13%
b Avon International Operations, Inc., 7.875%, 8/15/2022	$	1,340,000	$	1,413,700
				10,550,300
INSURANCE — 2.99%
Insurance — 2.99%
CNA Financial Corp., 4.50%, 3/1/2026		3,460,000		3,656,815
b,c DaVinciRe Holdings Ltd., 4.75%, 5/1/2025		4,790,000		4,632,519
ELM B.V. (AUD), 7.635%, 12/29/2049		1,000,000		766,671
ELM B.V. (AUD), 3.185%, 4/29/2049		1,000,000		761,830
c Enstar Group Ltd., 4.50%, 3/10/2022		2,000,000		2,025,168
b Forethought Financial Group, Inc., 8.625%, 4/15/2021		1,160,000		1,318,313
Genworth Holdings, Inc., 4.90%, 8/15/2023		6,000,000		4,995,000
Kemper Corp., 4.35%, 2/15/2025		1,810,000		1,812,708
b,c Lancashire Holdings Ltd., 5.70%, 10/1/2022		4,900,000		5,225,370
Mercury General Corp., 4.40%, 3/15/2027		4,000,000		3,996,088
b National Life Insurance of Vermont, 10.50%, 9/15/2039		1,000,000		1,529,354
Reinsurance Group of America, Inc., 3.95%, 9/15/2026		990,000		998,407
				31,718,243
MATERIALS — 3.84%
Chemicals — 1.46%
CF Industries Holdings, Inc., 6.875%, 5/1/2018		2,975,000		3,101,438
b,c Consolidated Energy Finance S.A., 6.75%, 10/15/2019		3,030,000		3,052,725
b,c Kissner Group Holdings, 8.375%, 12/1/2022		4,170,000		4,295,100
b,c Office Cherifien des Phosphates, 5.625%, 4/25/2024		4,710,000		5,014,737
Construction Materials — 0.33%
b,c Cimpor Financial Operations B.V., 5.75%, 7/17/2024		4,000,000		3,530,000
Containers & Packaging — 0.40%
b,c Ardagh Finance Holdings S.A., 4.25%, 9/15/2022		1,000,000		1,010,000
Graphic Packaging International, Inc., 4.125%, 8/15/2024		3,225,000		3,196,781
Metals & Mining — 0.97%
b International Wire Group, Inc., 10.75%, 8/1/2021		3,200,000		3,112,000
b,c Newcrest Finance Property Ltd., 4.20%, 10/1/2022		7,000,000		7,190,414
Paper & Forest Products — 0.68%
b Neenah Paper, Inc., 5.25%, 5/15/2021		7,075,000		7,216,500
				40,719,695
MEDIA — 2.79%
Media — 2.79%
b Cable One, Inc., 5.75%, 6/15/2022		7,031,000		7,312,240
b CSC Holdings, LLC, 5.50%, 4/15/2027		1,825,000		1,854,656
b DHX Media Ltd. (CAD), 5.875%, 12/2/2021		1,340,000		1,007,633
b EMI Music Publishing Ltd., 7.625%, 6/15/2024		1,520,000		1,656,800
b,c SFR Group SA, 6.00%, 5/15/2022		3,475,000		3,600,969
b,c SFR Group SA, 7.375%, 5/1/2026		2,365,000		2,435,950
b Sirius XM Canada Holdings, Inc. (CAD), 5.625%, 4/23/2021		7,441,000		5,609,356
The Washington Post Co., 7.25%, 2/1/2019		2,100,000		2,273,250
b,c Virgin Media, Inc., 5.50%, 8/15/2026		3,790,000		3,846,850
				29,597,704
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.00%
Pharmaceuticals — 0.00%
a,d,e Atlas U.S. Royalty, LLC Participation Rights, 0%, 3/15/2027		5,450,000		0
				0
REAL ESTATE — 1.68%
Equity Real Estate Investment Trusts — 1.40%
EPR Properties, 5.25%, 7/15/2023		5,000,000		5,244,115
Hospitality Properties Trust, 4.95%, 2/15/2027		2,850,000		2,926,420
Retail Opportunity Investments Corp., 5.00%, 12/15/2023		1,500,000		1,549,818
Select Income REIT, 2.85%, 2/1/2018		5,100,000		5,132,472
Real Estate Management & Development — 0.28%
b,c Avison Young (Canada), Inc., 9.50%, 12/15/2021		3,000,000		2,955,000
				17,807,825
RETAILING — 1.74%
Distributors — 0.57%
LKQ Corp., Inc., 4.75%, 5/15/2023		6,045,000		6,014,775

12    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
Internet & Direct Marketing Retail — 0.75%
QVC, Inc., 4.45%, 2/15/2025	$	8,147,000	$	7,911,894
Multiline Retail — 0.42%
b,c Grupo Famsa S.A.B. de C.V., 7.25%, 6/1/2020		5,550,000		4,495,500
				18,422,169
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.52%
Semiconductors & Semiconductor Equipment — 0.52%
b Broadcom Corp./Broadcom Cayman Finance Ltd., 2.375%, 1/15/2020		1,000,000		999,879
b Broadcom Corp./Broadcom Cayman Finance Ltd., 3.00%, 1/15/2022		1,000,000		998,726
b Broadcom Corp./Broadcom Cayman Finance Ltd., 3.625%, 1/15/2024		1,000,000		1,007,370
b,c Sensata Technologies B.V., 5.00%, 10/1/2025		2,530,000		2,548,975
				5,554,950
SOFTWARE & SERVICES — 2.78%
Information Technology Services — 1.25%
b Alliance Data Systems Corp., 5.375%, 8/1/2022		4,190,000		4,221,425
Neustar, Inc., 4.50%, 1/15/2023		8,770,000		9,000,212
Internet Software & Services — 0.54%
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc., 5.75%, 4/15/2023		5,417,000		5,674,205
Software — 0.99%
Autodesk, Inc., 3.125%, 6/15/2020		2,350,000		2,395,350
Autodesk, Inc., 4.375%, 6/15/2025		1,600,000		1,648,757
b,c Open Text Corp., 5.875%, 6/1/2026		3,320,000		3,477,700
b Solera Capital, LLC, 10.50%, 3/1/2024		2,630,000		3,004,775
				29,422,424
TECHNOLOGY HARDWARE & EQUIPMENT — 3.19%
Communications Equipment — 0.34%
c LM Ericsson, 4.125%, 5/15/2022		3,490,000		3,561,371
Computers & Peripherals — 0.10%
Lexmark International, Inc., 6.125%, 3/15/2020		1,038,000		1,076,000
Electronic Equipment, Instruments & Components — 2.17%
Anixter, Inc., 5.125%, 10/1/2021		8,395,000		8,751,788
b Harland Clarke Holdings, 8.375%, 8/15/2022		1,500,000		1,537,500
Ingram Micro, Inc., 5.45%, 12/15/2024		1,951,000		1,919,725
Tech Data Corp., 4.95%, 2/15/2027		4,000,000		4,037,816
Trimble Navigation, Ltd., 4.75%, 12/1/2024		6,525,000		6,753,042
Technology, Hardware, Storage & Peripherals — 0.58%
CDW LLC/CDW Finance Corp., 5.00%, 9/1/2025		2,000,000		2,040,000
b Western Digital Corp., 7.375%, 4/1/2023		3,725,000		4,083,531
				33,760,773
TELECOMMUNICATION SERVICES — 5.19%
Diversified Telecommunication Services — 1.84%
AT&T, Inc., 3.00%, 6/30/2022		2,395,000		2,382,534
b,c Inmarsat Finance plc, 4.875%, 5/15/2022		400,000		396,000
Qwest Corp., 6.75%, 12/1/2021		3,700,000		4,056,118
b Unison Ground Lease Funding, 5.78%, 3/15/2043		1,920,000		1,794,225
Verizon Communications, Inc. Floating Rate Note, 2.137%, 3/16/2022		2,500,000		2,522,740
b,c Videotron Ltd., Co., 5.375%, 6/15/2024		8,050,000		8,361,937
Wireless Telecommunication Services — 3.35%
America Movil SAB de CV (MXN), 6.45%, 12/5/2022		120,000,000		5,973,641
b,c Digicel Ltd., 6.00%, 4/15/2021		7,450,000		6,770,187
b,c Inmarsat Finance plc, 6.50%, 10/1/2024		600,000		621,750
b,c Millicom International Cellular S.A., 6.00%, 3/15/2025		5,578,000		5,717,450
b,c MTN (Mauritius) Investments Ltd., 5.373%, 2/13/2022		3,450,000		3,503,510
b,c MTN International (Mauritius) Ltd., 4.755%, 11/11/2024		4,125,000		3,891,937
T-Mobile USA, Inc., 4.00%, 4/15/2022		2,000,000		2,032,500
b WCP Issuer, LLC, 6.657%, 8/15/2043		386,000		419,293
b WCP Issuer, LLC, 7.143%, 8/15/2043		6,000,000		6,592,500
				55,036,322
TRANSPORTATION — 3.01%
Airlines — 2.81%
American Airlines Group, Inc., 4.00%, 8/15/2030		2,000,000		2,025,000
b American Airlines Group, Inc., 5.60%, 1/15/2022		11,293,608		11,674,767
American Airlines Group, Inc., 4.95%, 7/15/2024		2,283,530		2,428,830
Continental Airlines, 9.798%, 10/1/2022		4,324,388		4,756,827

Semi-Annual Report    13

Schedule of Investments, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
b,c Guanay Finance Ltd., 6.00%, 12/15/2020	$	4,625,576	$	4,746,998
US Airways, 7.076%, 9/20/2022		958,003		1,022,668
US Airways, 6.25%, 10/22/2024		1,289,851		1,405,938
US Airways, 5.90%, 4/1/2026		1,547,564		1,724,048
Marine — 0.12%
b,c Stena International SA, 5.75%, 3/1/2024		1,400,000		1,260,000
Transportation Infrastructure — 0.08%
b,c Mexico City Airport Trust, 4.25%, 10/31/2026		842,000		853,578
				31,898,654
UTILITIES — 2.91%
Electric Utilities — 2.16%
b Duquesne Light Holdings, Inc., 6.40%, 9/15/2020		2,000,000		2,233,046
Great Plains Energy, Inc., 2.50%, 3/9/2020		4,500,000		4,518,945
b Jersey Central Power & Light Co., 4.30%, 1/15/2026		3,965,000		4,124,865
Puget Energy, Inc., 6.50%, 12/15/2020		2,000,000		2,239,896
Puget Energy, Inc., 5.625%, 7/15/2022		2,500,000		2,766,145
Southern Power Co., 1.85%, 12/1/2017		7,000,000		7,006,888
Independent Power & Renewable Electricity Producers — 0.54%
Ipalco Enterprises, Inc., 5.00%, 5/1/2018		2,500,000		2,568,750
b Midland Cogeneration Venture, 6.00%, 3/15/2025		1,496,788		1,589,448
b Pattern Energy Group, Inc., 5.875%, 2/1/2024		1,500,000		1,518,750
Multi-Utilities — 0.21%
CMS Energy Corp., 8.75%, 6/15/2019		2,000,000		2,283,692
				30,850,425
TOTAL CORPORATE BONDS (Cost $678,732,536)				670,774,412
CONVERTIBLE BONDS — 2.42%
DIVERSIFIED FINANCIALS — 0.50%
Consumer Finance — 0.50%
EZCORP, Inc., 2.125%, 6/15/2019		5,719,000		5,297,224
				5,297,224
FOOD, BEVERAGE & TOBACCO — 0.24%
Tobacco — 0.24%
Vector Group Ltd., 1.75%, 4/15/2020		2,260,000		2,552,388
				2,552,388
MEDIA — 0.74%
Media — 0.74%
Comcast Holdings Corp., 2.00%, 10/15/2029		15,500,000		7,827,500
				7,827,500
REAL ESTATE — 0.85%
Equity Real Estate Investment Trusts — 0.85%
b IAS Operating Partnership LP, 5.00%, 3/15/2018		5,040,000		5,084,100
VEREIT, Inc., 3.00%, 8/1/2018		3,890,000		3,892,431
				8,976,531
SOFTWARE & SERVICES — 0.09%
Internet Software & Services — 0.09%
b Zillow, Inc., 2.00%, 12/1/2021		1,000,000		991,875
				991,875
TOTAL CONVERTIBLE BONDS (Cost $24,715,653)				25,645,518
MUNICIPAL BONDS — 0.97%
California Health Facilities Financing Authority (Developmental Disabilities), 7.875%, 2/1/2026		1,940,000		2,182,539
City of Chicago GO, 7.045%, 1/1/2029		5,000,000		5,094,850
Oklahoma Development Finance Authority, 8.00%, 5/1/2020		590,000		594,779
San Bernardino County California Redevelopment Agency (San Sevaine), 8.45%, 9/1/2030		1,000,000		1,141,430
Town of Oyster Bay GO, 3.25%, 2/1/2018		1,220,000		1,221,427
TOTAL MUNICIPAL BONDS (Cost $9,717,776)				10,235,025
U.S. GOVERNMENT AGENCIES — 1.16%
b CoBank, ACB Floating Rate Note, (Federal Farm Credit Banks), 1.731%, 6/15/2022		12,700,000		12,260,224
TOTAL U.S. GOVERNMENT AGENCIES (Cost $12,266,305)				12,260,224

14    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
OTHER GOVERNMENT— 1.32%
Mexican Bonos de Desarrollo (MXN), 5.00%, 6/15/2017	$	130,000,000	$	6,926,598
Mexican Bonos de Desarrollo (MXN), 4.75%, 6/14/2018		77,700,000		4,063,238
b,c Seven and Seven Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of Korea), 2.43%, 9/11/2019		3,000,000		2,980,407
TOTAL OTHER GOVERNMENT (Cost $18,396,532)				13,970,243
MORTGAGE BACKED — 0.29%
Federal Home Loan Mtg Corp., CMO Series KIR1 Class X, 1.093%, 3/25/2026		37,684,564		2,830,243
Federal National Mtg Assoc., CMO Series 1994-37 Class L, 6.50%, 3/25/2024		2,340		2,547
a Reilly FHA 1997-A Mtg, 6.896%, 7/1/2020		254,595		254,595
TOTAL MORTGAGE BACKED (Cost $3,026,810)				3,087,385
LOAN PARTICIPATIONS — 5.62%
COMMERCIAL & PROFESSIONAL SERVICES — 0.60%
Professional Services — 0.60%
RGIS Services, LLC, 7.50%, 3/24/2023		2,462,500		2,450,187
Affinion Group, Inc., 6.75%, 4/30/2018		3,899,497		3,880,741
				6,330,928
CONSUMER SERVICES — 0.10%
Hotels, Restaurants & Leisure — 0.10%
Cheddar’s Scratch Kitchen, 10.75%, 12/20/2022		1,000,000		1,005,000
				1,005,000
DIVERSIFIED FINANCIALS — 0.46%
Diversified Financial Services — 0.46%
c Stena International S.A., 4.15%, 3/3/2021		5,208,900		4,820,108
				4,820,108
ENERGY — 0.33%
Oil, Gas & Consumable Fuels — 0.33%
a Malamute Energy, Inc., 1.15%, 11/22/2022		14,316		14,316
Citgo Holding, Inc., 9.65%, 5/12/2018		3,458,695		3,507,705
				3,522,021
FOOD, BEVERAGE & TOBACCO — 0.28%
Tobacco — 0.28%
a North Atlantic Holding Co., Inc., 7.15%, 5/9/2022		3,000,000		2,970,000
				2,970,000
HEALTH CARE EQUIPMENT & SERVICES — 0.35%
Health Care Providers & Services — 0.35%
Prospect Medical Holdings, Inc., 7.13%, 06/30/2022		3,672,250		3,722,743
				3,722,743
HOUSEHOLD & PERSONAL PRODUCTS — 0.24%
Household Products — 0.24%
Energizer Holdings, Inc., 2.81%, 6/30/2022		2,500,000		2,508,325
				2,508,325
INDUSTRIALS — 0.51%
Construction & Engineering — 0.51%
ABG Intermediate Holdings (2), LLC, 9.65%, 5/27/2022		5,359,598		5,399,795
				5,399,795
MEDIA — 1.43%
Media — 1.43%
c Mood Media Corp., 7.15%, 5/1/2019		9,636,291		9,536,940
New Media Holdings II, LLC, 7.40%, 6/4/2020		5,679,128		5,622,337
				15,159,277
REAL ESTATE — 0.03%
Real Estate Management & Development — 0.03%
DTZ U.S. Borrower, LLC, 9.29%, 11/4/2022		318,298		317,238
				317,238
RETAILING — 0.31%
Specialty Retail — 0.31%
Redbox Automated Retail, LLC, 8.50%, 9/27/2021		3,325,000		3,320,844
				3,320,844

Semi-Annual Report    15

Schedule of Investments, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
SOFTWARE & SERVICES — 0.27%
Information Technology Services — 0.27%
CCC Information Services, Inc., 7.75%, 3/29/2025	$	1,000,000	$	1,010,000
Neustar, Inc., 3.25%, 8/28/2019		1,000,000		1,012,080
Neustar, Inc., 4.03%, 1/22/2019		863,300		858,984
				2,881,064
TECHNOLOGY HARDWARE & EQUIPMENT — 0.33%
Technology, Hardware, Storage & Peripherals — 0.33%
Harland Clarke Holdings Corp., 7.15%, 12/31/2021		3,477,858		3,505,681
				3,505,681
TELECOMMUNICATION SERVICES — 0.28%
Diversified Telecommunication Services — 0.28%
Cyxtera Technologies, Inc., 7.75%, 3/28/2025		3,000,000		3,011,250
				3,011,250
TRANSPORTATION — 0.10%
Airlines — 0.05%
a,b,c,d,e OS Two, LLC, 12.00%, 12/15/2020		710,495		546,371
Road & Rail — 0.05%
Avolon Holdings Ltd., 3.73%, 3/20/2022		500,000		506,460
				1,052,831
TOTAL LOAN PARTICIPATIONS (Cost $59,368,927)				59,527,105
SHORT TERM INVESTMENTS — 9.62%
f Thornburg Capital Management Fund		10,194,681		101,946,814
TOTAL SHORT TERM INVESTMENTS (Cost $101,946,814)				101,946,814
TOTAL INVESTMENTS — 99.47% (Cost $1,067,415,001)			$	1,054,041,474
OTHER ASSETS LESS LIABILITIES — 0.53%				5,595,754
NET ASSETS — 100.00%			$	1,059,637,228

Footnote Legend

a Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee.

b Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2017, the aggregate value of these securities in the Fund’s portfolio was $498,830,493, representing 47.08% of the Fund’s net assets.

c Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations.

d Bond in default.

e Non-income producing.

f Investment in Affiliates - Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/PRINCIPAL SEPTEMBER 30, 2016		GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/PRINCIPAL MARCH 31, 2017		MARKET VALUE MARCH 31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Thornburg Capital Management Fund		11,484,943		14,171,283		15,461,545		10,194,681	$	101,946,814	$	355,440	$	—
Total non-controlled affiliated issuers - 9.62% of net assets									$	101,946,814	$	355,440	$	—

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ARM	Adjustable Rate Mortgage
AUD	Denominated in Australian Dollars
BRL	Denominated in Brazilian Real
CAD	Denominated in Canadian Dollars
CHL	Denominated in Chilean Peso
CMO	Collateralized Mortgage Obligation
EUR	Denominated in Euros
FCB	Farm Credit Bank
FHA	Insured by Federal Housing Administration

GO	General Obligation
Mtg	Mortgage
MTN	Medium-Term Note
MXN	Denominated in Mexican Pesos
Pfd	Preferred Stock
REIT	Real Estate Investment Trust
SBA	Small Business Administration
SEK	Denominated in Swedish Kronor
SPV	Special Purpose Vehicle

See notes to financial statements.

16    Semi-Annual Report

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Semi-Annual Report    17

Statement of Assets and Liabilities
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $965,468,187)	$	952,094,660
Non-controlled affiliated issuer (cost $101,946,814)		101,946,814
Cash		738,913
Receivable for investments sold		2,697,884
Receivable for fund shares sold		8,658,969
Unrealized appreciation on forward currency contracts (Note 7)		137,184
Dividends receivable		207,587
Dividend and interest reclaim receivable		50,888
Interest receivable		10,979,252
Prepaid expenses and other assets		76,268
Total Assets		1,077,588,419
LIABILITIES
Payable for investments purchased		12,224,480
Payable for fund shares redeemed		4,302,422
Unrealized depreciation on forward currency contracts (Note 7)		72,991
Payable to investment advisor and other affiliates (Note 4)		685,928
Accounts payable and accrued expenses		264,263
Dividends payable		401,107
Total Liabilities		17,951,191
NET ASSETS	$	1,059,637,228
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(673,286	)
Net unrealized depreciation on investments		(13,297,999	)
Accumulated net realized gain (loss)		(34,807,397	)
Net capital paid in on shares of beneficial interest		1,108,415,910
	$	1,059,637,228

18    Semi-Annual Report

Statement of Assets and Liabilities, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($241,563,697 applicable to 20,743,914 shares of beneficial interest outstanding - Note 5)	$	11.65
Maximum sales charge, 4.50% of offering price		0.55
Maximum offering price per share	$	12.20
Class C Shares:
Net asset value and offering price per share* ($235,079,441 applicable to 20,219,710 shares of beneficial interest outstanding - Note 5)	$	11.63
Class I Shares:
Net asset value, offering and redemption price per share ($571,676,587 applicable to 49,207,772 shares of beneficial interest outstanding - Note 5)	$	11.62
Class R3 Shares:
Net asset value, offering and redemption price per share ($2,683,197 applicable to 230,693 shares of beneficial interest outstanding - Note 5)	$	11.63
Class R4 Shares:
Net asset value, offering and redemption price per share ($2,759,348 applicable to 237,114 shares of beneficial interest outstanding - Note 5)	$	11.64
Class R5 Shares:
Net asset value, offering and redemption price per share ($5,874,958 applicable to 505,789 shares of beneficial interest outstanding - Note 5)	$	11.62

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    19

Statement of Operations
Thornburg Strategic Income Fund	Six Months Ended March 31, 2017

INVESTMENT INCOME
Dividend income
Non-affiliated issuers	$	611,474
Non-controlled affiliated issuer		355,440
Interest income (net of premium amortized of $1,010,789)		23,969,121
Total Income		24,936,035
EXPENSES
Investment advisory fees (Note 4)		3,676,905
Administration fees (Note 4)
Class A Shares		168,569
Class C Shares		157,155
Class I Shares		125,961
Class R3 Shares		1,801
Class R4 Shares		1,832
Class R5 Shares		1,544
Distribution and service fees (Note 4)
Class A Shares		336,337
Class C Shares		1,253,192
Class R3 Shares		7,258
Class R4 Shares		3,668
Transfer agent fees
Class A Shares		129,754
Class C Shares		114,658
Class I Shares		219,868
Class R3 Shares		6,704
Class R4 Shares		6,255
Class R5 Shares		8,504
Registration and filing fees
Class A Shares		15,431
Class C Shares		10,836
Class I Shares		36,910
Class R3 Shares		10,376
Class R4 Shares		10,247
Class R5 Shares		10,376
Custodian fees (Note 2)		140,950
Professional fees		49,127
Accounting fees (Note 4)		16,070
Trustee fees		22,637
Other expenses		76,932
Total Expenses		6,619,857
Less:
Expenses reimbursed by investment advisor (Note 4)		(370,430	)
Investment advisory fees waived by investment advisor (Note 4)		(191,452	)
Net Expenses		6,057,975
Net Investment Income	$	18,878,060

20    Semi-Annual Report

Statement of Operations, Continued
Thornburg Strategic Income Fund	Six Months Ended March 31, 2017

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Non-affiliated issuer investments	$	(2,367,649	)
Forward currency contracts (Note 7)		386,142
Foreign currency transactions		(62,423	)
		(2,043,930	)
Net change in unrealized appreciation (depreciation) on:
Non-affiliated issuer investments		5,265,162
Forward currency contracts (Note 7)		(62,151	)
Foreign currency translations		49,950
		5,252,961
Net Realized and Unrealized Gain		3,209,031
Net Increase in Net Assets Resulting from Operations	$	22,087,091

See notes to financial statements.

Semi-Annual Report    21

Statements of Changes in Net Assets
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	18,878,060		$	44,371,576
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions		(2,043,930	)		(38,813,306	)
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations		5,252,961			61,853,369
Net Increase (Decrease) in Net Assets Resulting from Operations		22,087,091			67,411,639
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(3,748,361	)		(9,880,040	)
Class C Shares		(2,778,022	)		(7,668,653	)
Class I Shares		(8,125,111	)		(17,002,116	)
Class R3 Shares		(40,242	)		(59,729	)
Class R4 Shares		(40,546	)		(84,997	)
Class R5 Shares		(95,823	)		(239,592	)
From realized gains
Class A Shares		—			(816,703	)
Class C Shares		—			(732,196	)
Class I Shares		—			(1,265,868	)
Class R3 Shares		—			(3,811	)
Class R4 Shares		—			(5,676	)
Class R5 Shares		—			(14,864	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(43,682,256	)		(63,035,022	)
Class C Shares		(39,147,077	)		(41,609,027	)
Class I Shares		87,727,345			(64,637,440	)
Class R3 Shares		(155,719	)		1,314,552
Class R4 Shares		(474,414	)		1,018,779
Class R5 Shares		(1,349,371	)		514,084
Net Increase (Decrease) in Net Assets		10,177,494			(136,796,680	)
NET ASSETS
Beginning of Period		1,049,459,734			1,186,256,414
End of Period	$	1,059,637,228		$	1,049,459,734
Distribution in excess of net investment income	$	(673,286	)	$	(4,723,241	)

* Unaudited.

See notes to financial statements.

22    Semi-Annual Report

Notes to Financial Statements
Thornburg Strategic Income Fund	March 31, 2017

NOTE 1 – ORGANIZATION

Thornburg Strategic Income Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on December 19, 2007. The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment goal is to seek a high level of current income. The Fund’s secondary investment goal is some long-term capital appreciation.

The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”) and Retirement Classes (“Class R3”, “Class R4”, and “Class R5”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (vii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates of the respective investments. These amounts are included in Interest Income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value

Semi-Annual Report    23

Notes to Financial Statements, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Unfunded Loan Commitments: The Fund has entered into a loan commitment with Malamute Energy, Inc., of which at March 31, 2017, $14,316 of the $42,350 par commitment had been funded. The maturity date is November 22, 2022.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	1,067,415,001
Gross unrealized appreciation on a tax basis	$	26,209,659
Gross unrealized depreciation on a tax basis		(39,583,186	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	(13,373,527	)

24    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

At March 31, 2017, the Fund had deferred tax basis late year specified ordinary losses occurring subsequent to October 31, 2015 through September 30, 2016 of $9,305,389. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $30,691,256. For tax purposes, such capital losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $1,894,006, (of which $0 are short-term and $1,894,006 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryfor-wards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading.

Semi-Annual Report    25

Notes to Financial Statements, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

26    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL			LEVEL 1		LEVEL 2			LEVEL 3(b)
Assets
Investments in Securities*
Common Stock(a)	$	3,737,891		$	—	$	3,728,998		$	8,893
Preferred Stock(a)		19,640,527			3,595,180		13,545,200			2,500,147
Asset Backed Securities		133,216,330			—		124,913,647			8,302,683
Corporate Bonds		670,774,412			—		661,510,126			9,264,286
Convertible Bonds		25,645,518			—		25,645,518			—
Municipal Bonds		10,235,025			—		10,235,025			—
U.S. Government Agencies		12,260,224			—		12,260,224			—
Other Government		13,970,243			—		13,970,243			—
Mortgage Backed		3,087,385			—		2,832,790			254,595
Loan Participations		59,527,105			—		55,996,418			3,530,687
Short Term Investments		101,946,814			101,946,814		—			—
Total Investments in Securities	$	1,054,041,474		$	105,541,994	$	924,638,189		$	23,861,291
Other Financial Instruments**
Forward Currency Contracts	$	137,184		$	—	$	137,184		$	—
Liabilities
Other Financial Instruments**
Forward Currency Contracts	$	(72,991	)	$	—	$	(72,991	)	$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

** Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment.

(a) At March 31, 2017, industry classifications for Common Stock and Preferred Stock in Level 2 and Level 3 consist of $6,238,038 in Energy, $10,772,500 in Miscellaneous, and $2,772,700 in Telecommunication Services.

(b) In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, unadjusted broker quotes were applied to $9,473,155 of portfolio securities characterized as Level 3 investments at March 31, 2017. The following table displays a summary of the valuation techniques and unobservable inputs used to value portfolio securities characterized as Level 3 investments, where no unadjusted broker quotes were available at March 31, 2017:

	FAIR VALUE AT MARCH 31, 2017		VALUATION TECHNIQUE(S)		UNOBSERVABLE INPUT	RANGE (WEIGHTED AVERAGE)
Common Stock	$	8,893		Discount to valuation	Fair valued by the Committee due to halt in trading and lack of information and liquidity		$10.50 (N/A)
Preferred Stock		2,500,147		Cost basis	Cost basis		$9.77 (N/A)
Asset-Backed Securities		8,302,683		Discounted cash flows	Third party vendor projection of discounted cash flows		2.30% - 5.40% (3.29%)
Corporate Bonds		45,726		Discount to valuation	Fair valued by the Committee due to halt in trading and lack of information and liquidity	$	0.001-$4.15 (11.07%)
Loan Participations		2,970,000		Cost basis	Cost basis		$99.00 (N/A)
		546,371		Discounted cash flows	Third party vendor projection of discounted cash flows		22.50%-27.50% (12.00%)
		14,316		Discount to valuation	Fair valued by the Committee due to halt in trading and lack of information and liquidity		$100.00 (N/A)
Total	$	14,388,136

Semi-Annual Report    27

Notes to Financial Statements, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2017 is as follows:

	PREFERRED STOCK		ASSET BACKED SECURITIES			COMMON STOCK		CORPORATE BONDS			MORTGAGE BACKED			OTHER SECURITIES			TOTAL(e)
Beginning Balance 9/30/2016	$	—	$	10,975,294		$	—	$	1,785,600		$	331,595		$	6,692,250		$	19,784,739
Accrued Discounts (Premiums)		—		4,849			—		13,840			(631	)		5,083			23,141
Net Realized Gain (Loss)(a)		—		17,233			—		—			(1,288	)		(134,865	)		(118,920	)
Gross Purchases		2,500,147		4,000,000			8,894		7,113,500			—			3,146,396			16,768,937
Gross Sales		—		(4,577,082	)		—		(223,764	)		(77,000	)		(6,360,246	)		(11,238,092	)
Net Change in Unrealized Appreciation (Depreciation)(b)(c)		—		(17,717	)		—		129,884			1,919			182,069			296,155
Transfers into Level 3(d)		—		—			—		2,230,826			—			—			2,230,826
Transfers out of Level 3(d)		—		(2,099,895	)		—		(1,785,600	)		—			—			(3,885,495	)
Ending Balance 3/31/2017	$	2,500,147	$	8,302,682		$	8,894	$	9,264,286		$	254,595		$	3,530,687		$	23,861,291

(a) Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2017.

(b) Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2017.

(c) The net change in unrealized appreciation (depreciation) attributable to securities owned at March 31, 2017, which were valued using significant unobservable inputs, was $112,017. This is included within net change in unrealized appreciation (depreciation) on investments in the Fund’s the Statement of Operations for the six months ended March 31, 2017.

(d) Transfers into or out of Level 3 were out of or into Level 2, and were due to changes in other significant observable inputs available during the six months ended March 31, 2017. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred.

(e) Level 3 investments represent 2.25% of total net assets at the six months ended March 31, 2017. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments.

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.750	%
Next $500 million		0.675
Next $500 million		0.625
Next $500 million		0.575
Over $2 billion		0.500

The Fund’s effective management fee for the year ended September 30, 2016 was 0.709% of the Fund’s average net assets, (before applicable management fee waiver of $191,452).

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $16,070 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $20,133 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $4,192 from redemptions of Class C shares of the Fund.

28    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A, Class C, Class R3, and Class R4 shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I and Class R5 shares. The Advisor and Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares and an annual rate of .25 of 1% of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor contractually waived Fund level investment advisory fees of $191,452. The Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $9,286 for Class A shares, $195,824 for Class C shares, $116,906 for Class I shares, $18,665 for Class R3 shares, $14,434 for Class R4 shares, and $15,315 for Class R5 shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by the Trustees and Officers of the Trust and the Advisor is approximately 1.50%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had transactions with affiliated funds of $3,125,667 in sales.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		2,524,188		$	29,138,580			4,582,152		$	51,291,779
Shares issued to shareholders in reinvestment of dividends		297,011			3,439,741			871,540			9,760,425
Shares repurchased		(6,584,960	)		(76,260,577	)		(11,109,168	)		(124,087,226	)
Net increase (decrease)		(3,763,761	)	$	(43,682,256	)		(5,655,476	)	$	(63,035,022	)
Class C Shares
Shares sold		941,251		$	10,847,245			2,946,495		$	32,860,557
Shares issued to shareholders in reinvestment of dividends		210,524			2,434,735			654,821			7,317,489
Shares repurchased		(4,548,979	)		(52,429,057	)		(7,309,089	)		(81,787,073	)
Net increase (decrease)		(3,397,204	)	$	(39,147,077	)		(3,707,773	)	$	(41,609,027	)

Semi-Annual Report    29

Notes To Financial Statements, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class I Shares
Shares sold		13,849,072		$	159,754,364			13,499,402		$	151,142,252
Shares issued to shareholders in reinvestment of dividends		602,054			6,956,978			1,377,570			15,401,708
Shares repurchased		(6,857,206	)		(78,983,997	)		(20,779,133	)		(231,181,400	)
Net increase (decrease)		7,593,920		$	87,727,345			(5,902,161	)	$	(64,637,440	)
Class R3 Shares
Shares sold		43,980		$	506,895			185,212		$	2,084,448
Shares issued to shareholders in reinvestment of dividends		1,455			16,831			3,115			34,849
Shares repurchased		(58,783	)		(679,445	)		(71,853	)		(804,745	)
Net increase (decrease)		(13,348	)	$	(155,719	)		116,474		$	1,314,552
Class R4 Shares
Shares sold		61,988		$	713,584			98,418		$	1,108,245
Shares issued to shareholders in reinvestment of dividends		2,291			26,528			5,291			59,279
Shares repurchased		(105,547	)		(1,214,526	)		(13,157	)		(148,745	)
Net increase (decrease)		(41,268	)	$	(474,414	)		90,552		$	1,018,779
Class R5 Shares
Shares sold		121,893		$	1,405,467			537,061		$	5,962,916
Shares issued to shareholders in reinvestment of dividends		6,819			78,778			14,404			161,108
Shares repurchased		(246,273	)		(2,833,616	)		(499,950	)		(5,609,940	)
Net increase (decrease)		(117,561	)	$	(1,349,371	)		51,515		$	514,084

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $204,523,892 and $163,432,371, respectively.

NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of the FASB Accounting Standards Codification 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2017, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract’s counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss.

The Fund entered into forward currency contracts during the six months ended March 31, 2017 in the normal course of pursuing its investment objectives, with the objective of purchasing foreign investments or with the intent of reducing the risk to the value of the

30    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

Fund’s foreign investments from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign investment transactions.

These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations.

The quarterly average value of open sell currency contracts for the six months ended March 31, 2017 was $14,906,617. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.

The following table displays the outstanding forward currency contracts at March 31, 2017:

OUTSTANDING FORWARD CURRENCY CONTRACTS TO BUY OR SELL AT MARCH 31, 2017
CONTRACT DESCRIPTION	BUY/ SELL		CONTRACT AMOUNT		CONTRACT VALUE DATE		VALUE USD		UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION
Canadian Dollar		Sell		12,854,000		09/06/2017		9,687,642	$	—	$	(72,991	)
Euro		Sell		475,000		09/25/2017		511,154		6,498		—
Swiss Franc		Sell		3,974,100		09/21/2017		4,010,296		130,686		—
Total									$	137,184	$	(72,991	)
Net unrealized appreciation (depreciation)									$	64,193

The outstanding forward currency contracts in the foregoing table were entered into with State Street Bank and Trust Company (“SSB”), pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement with SSB, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.

Because the ISDA Master Agreement with SSB does not result in an offset of reported amounts of financial assets and liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.

The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2017 is disclosed in the following table:

FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS AT MARCH 31, 2017
ASSET DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Assets - Unrealized appreciation on forward currency contracts	$137,184
LIABILITY DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Liabilities - Unrealized depreciation on forward currency contracts	$(72,991)

Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with SSB, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at March 31, 2017 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at March

Semi-Annual Report    31

Notes To Financial Statements, Continued
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

31, 2017 is $64,193, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $0. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.

The net realized gain (loss) from forward currency contracts and the net change in unrealized appreciation (depreciation) on outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2017 are disclosed in the following tables:

NET REALIZED GAIN (LOSS) ON DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$ 386,142	$ 386,142

NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$ (62,151)	$ (62,151)

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, prepayment risk, management risk, market and economic risk, liquidity risk, risks affecting specific issuers, and the risks associated with investments in derivative instruments, small- and mid-cap companies, non-U.S. issuers, real estate investment trusts, below investment grade debt obligations, and structured finance arrangements. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

32    Semi-Annual Report

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Semi-Annual Report    33

Financial Highlights

    Thornburg Strategic Income Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																	RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET  ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+	NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS	TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)	NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	11.56	0.21		0.04			0.25			(0.16	)	—		(0.16	)	$11.65		3.60	(f)		1.21	(f)		1.21	(f)		1.25	(f)		2.19		17.70	$	241,564
2016(c)	$	11.22	0.46		0.28			0.74			(0.37	)	(0.03)		(0.40	)	$11.56		4.12			1.24			1.24			1.24			6.70		29.48	$	283,398
2015(c)	$	12.18	0.47		(0.82	)		(0.35	)		(0.46	)	(0.15)		(0.61	)	$11.22		4.04			1.23			1.23			1.23			(2.97	)	38.40	$	338,387
2014(c)	$	12.19	0.52		0.28			0.80			(0.54	)	(0.27)		(0.81	)	$12.18		4.30			1.22			1.22			1.24			6.79		51.20	$	392,604
2013(c)	$	12.28	0.67		0.03			0.70			(0.65	)	(0.14)		(0.79	)	$12.19		5.44			1.25			1.25			1.27			5.79		76.47	$	251,106
2012(c)	$	11.86	0.71		0.73			1.44			(0.74	)	(0.28)		(1.02	)	$12.28		5.97			1.25			1.25			1.31			12.73		34.54	$	199,770
CLASS C SHARES
2017(b)	$	11.55	0.17		0.04			0.21			(0.13	)	—		(0.13	)	$11.63		3.01	(f)		1.80	(f)		1.80	(f)		1.99	(f)		1.82		17.70	$	235,079
2016	$	11.20	0.40		0.28			0.68			(0.30	)	(0.03)		(0.33	)	$11.55		3.56			1.80			1.80			1.99			6.20		29.48	$	272,691
2015	$	12.17	0.41		(0.83	)		(0.42	)		(0.40	)	(0.15)		(0.55	)	$11.20		3.47			1.80			1.80			1.97			(3.61	)	38.40	$	306,085
2014	$	12.17	0.45		0.29			0.74			(0.47	)	(0.27)		(0.74	)	$12.17		3.73			1.80			1.80			1.98			6.27		51.20	$	348,334
2013	$	12.26	0.60		0.03			0.63			(0.58	)	(0.14)		(0.72	)	$12.17		4.88			1.80			1.80			2.02			5.21		76.47	$	237,177
2012	$	11.84	0.64		0.73			1.37			(0.67	)	(0.28)		(0.95	)	$12.26		5.42			1.79			1.79			2.05			12.15		34.54	$	188,782
CLASS I SHARES
2017(b)	$	11.54	0.23		0.03			0.26			(0.18	)	—		(0.18	)	$11.62		3.98	(f)		0.83	(f)		0.83	(f)		0.92	(f)		2.30		17.70	$	571,677
2016	$	11.19	0.50		0.28			0.78			(0.40	)	(0.03)		(0.43	)	$11.54		4.45			0.91			0.91			0.91			7.15		29.48	$	480,143
2015	$	12.16	0.51		(0.83	)		(0.32	)		(0.50	)	(0.15)		(0.65	)	$11.19		4.38			0.89			0.89			0.89			(2.73	)	38.40	$	531,849
2014	$	12.17	0.56		0.28			0.84			(0.58	)	(0.27)		(0.85	)	$12.16		4.60			0.90			0.90			0.90			7.15		51.20	$	552,182
2013	$	12.25	0.70		0.04			0.74			(0.68	)	(0.14)		(0.82	)	$12.17		5.75			0.94			0.94			0.94			6.21		76.47	$	246,332
2012	$	11.83	0.74		0.73			1.47			(0.77	)	(0.28)		(1.05	)	$12.25		6.27			0.96			0.96			0.97			13.06		34.54	$	191,090
CLASS R3 SHARES
2017(b)	$	11.55	0.20		0.04			0.24			(0.16	)	—		(0.16	)	$11.63		3.56	(f)		1.25	(f)		1.25	(f)		2.58	(f)		2.10		17.70	$	2,683
2016	$	11.21	0.46		0.27			0.73			(0.36	)	(0.03)		(0.39	)	$11.55		4.07			1.25			1.25			3.09			6.69		29.48	$	2,819
2015	$	12.18	0.47		(0.83	)		(0.36	)		(0.46	)	(0.15)		(0.61	)	$11.21		3.98			1.25			1.25			2.70			(3.07	)	38.40	$	1,430
2014	$	12.19	0.49		0.31			0.80			(0.54	)	(0.27)		(0.81	)	$12.18		4.10			1.25			1.25			3.10			6.76		51.20	$	3,049
2013	$	12.28	0.63		0.06			0.69			(0.64	)	(0.14)		(0.78	)	$12.19		5.19			1.25			1.25			32.64	(d)		5.78		76.47	$	171
2012(e)	$	12.03	0.30		0.25			0.55			(0.30	)	—		(0.30	)	$12.28		5.93	(f)		1.22	(f)		1.22	(f)		373.07	(d)(f)		4.63		34.54	$	11
CLASS R4 SHARES
2017(b)	$	11.56	0.20		0.04			0.24			(0.16	)	—		(0.16	)	$11.64		3.56	(f)		1.25	(f)		1.25	(f)		2.27	(f)		2.10		17.70	$	2,759
2016	$	11.21	0.46		0.28			0.74			(0.36	)	(0.03)		(0.39	)	$11.56		4.10			1.25			1.25			2.50			6.79		29.48	$	3,218
2015	$	12.18	0.48		(0.84	)		(0.36	)		(0.46	)	(0.15)		(0.61	)	$11.21		4.15			1.25			1.25			2.64			(3.07	)	38.40	$	2,106
2014(g)	$	12.00	0.35		0.17			0.52			(0.34	)	—		(0.34	)	$12.18		4.25	(f)		1.25	(f)		1.25	(f)		60.66	(d)(f)		4.29		51.20	$	16
CLASS R5 SHARES
2017(b)	$	11.54	0.22		0.04			0.26			(0.18	)	—		(0.18	)	$11.62		3.91	(f)		0.90	(f)		0.90	(f)		1.43	(f)		2.28		17.70	$	5,875
2016	$	11.19	0.49		0.28			0.77			(0.39	)	(0.03)		(0.42	)	$11.54		4.34			0.99			0.99			1.37			7.07		29.48	$	7,191
2015	$	12.15	0.50		(0.82	)		(0.32	)		(0.49	)	(0.15)		(0.64	)	$11.19		4.33			0.99			0.99			1.55			(2.75	)	38.40	$	6,399
2014	$	12.16	0.55		0.28			0.83			(0.57	)	(0.27)		(0.84	)	$12.15		4.51			0.99			0.99			2.11			7.05		51.20	$	2,565
2013	$	12.25	0.70		0.03			0.73			(0.68	)	(0.14)		(0.82	)	$12.16		5.68			0.99			0.99			227.33	(d)		6.07		76.47	$	11
2012(e)	$	12.00	0.31		0.25			0.56			(0.31	)	—		(0.31	)	$12.25		6.22	(f)		0.97	(f)		0.97	(f)		372.35	(d)(f)		4.75		34.54	$	11

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Due to the size of net assets and fixed expenses, ratios may appear disproportionate.

(e) Effective date of this class of shares was May 1, 2012.

(f) Annualized.

(g) Effective date of this class of shares was February 1, 2014.

+ Based on weighted average shares outstanding.

See notes to financial statements.

34    Semi-Annual Report Semi-Annual Report    35

Expense Example
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	1,021.89	$	6.27
Hypothetical	$	1,000.00	$	1,018.73	$	6.26
CLASS C SHARES
Actual	$	1,000.00	$	1,018.17	$	9.23
Hypothetical	$	1,000.00	$	1,015.78	$	9.22
CLASS I SHARES
Actual	$	1,000.00	$	1,023.05	$	4.41
Hypothetical	$	1,000.00	$	1,020.58	$	4.40
CLASS R3 SHARES
Actual	$	1,000.00	$	1,021.01	$	6.49
Hypothetical	$	1,000.00	$	1,018.51	$	6.48
CLASS R4 SHARES
Actual	$	1,000.00	$	1,021.01	$	6.48
Hypothetical	$	1,000.00	$	1,018.52	$	6.47
CLASS R5 SHARES
Actual	$	1,000.00	$	1,022.77	$	4.71
Hypothetical	$	1,000.00	$	1,020.28	$	4.70

† Expenses are equal to the annualized expense ratio for each class (A: 1.24%; C: 1.83%; I: 0.87%; R3: 1.29%; R4: 1.29%; R5: 0.93%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

Hypothetical assumes a rate of return of 5% per year before expenses.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

36    Semi-Annual Report

Other Information
Thornburg Strategic Income Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    37

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task—our principal obligation to you—is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

38    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    39

To receive shareholder reports, prospectuses, and proxy statements electronically, go to www.thornburg.com/edelivery.   This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH1663

About Thornburg Investment Management

It’s more than what we do.

It’s how we do it.

At Thornburg, we are very different in how we think, invest, and are structured. We believe this difference is what makes us successful in helping individuals reach their long-term financial goals.

How we THINK

Flexible Perspective

Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value.

Collaboration

Collectively, we hone ideas via borderless cross-pollination for better judgment and better results.

How we INVEST

Portfolio Construction

Disciplined construction guided more by our convictions than convention.

CONVICTION

Thorough analysis and our relative-value framework lead to conviction in our securities selection.

UNCONVENTIONAL

Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point.

How we’re STRUCTURED

Structured for Excellence

How we think and how we invest is made possible by how we’re structured.

TEAM APPROACH

FAR FROM THE HERD

ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg Value Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	26
Expense Example	28
Other Information	29
Trustees’ Statement to Shareholders	30

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	TVAFX	885-215-731
Class C	TVCFX	885-215-715
Class I	TVIFX	885-215-632
Class R3	TVRFX	885-215-533
Class R4	TVIRX	885-215-277
Class R5	TVRRX	885-215-376

Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small- and mid-capitalization companies may increase the risk of greater price fluctuations. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Semi-Annual Report     3

Letter to Shareholders

Thornburg Value Fund March 31, 2017 (Unaudited)

April 25, 2017

Dear Fellow Shareholders:

The first half of Thornburg Value Fund’s 2017 fiscal year showed a positive result, and was just below our benchmark, the S&P 500 Index. During the period, the Fund (A shares without sales charge) slightly underperformed the S&P 500 Index, returning 9.80%, versus the index’s 10.12%.

Both long-term performance (since inception) and returns since we bolstered the consistent earners basket characteristics (in mid-2012) remain constructive. To illustrate the recovery with hard data, the updated Table 1, which was introduced in last year’s semi-annual letter, further highlights the Fund’s strengthening performance and improved beta characteristic since our mid-2012 consistent earner bolstering. We’re excited that, since then, we have provided a significant return for shareholders (in absolute terms) while also outpacing many pertinent investment alternatives.

Table I Historical Performance Statistics

	10/2/95– 12/31/10			12/31/10– 6/30/12			6/30/12– 3/31/17
Value Fund Beta		0.94			1.22			0.96
Value Fund Total Return, Annualized (A shares without sales charge)		9.9	%		-8.9	%		16.1	%
S&P 500 Total Return, Annualized		7.1	%		7.7	%		14.7	%
Value Fund Total Return, Cumulative		320.3	%		-12.9	%		103.3	%
S&P 500 Total Return, Cumulative		184.3	%		11.8	%		92.0	%

Source: Bloomberg and Confluence.

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.

The maximum sales charge for Class A shares is 4.50%. If the sales charge had been deducted, returns would be lower. The total annual fund operating expense of Class A shares is 1.39%, as disclosed in the most recent prospectus.

We recently read Philip Tetlock and Dan Gardner’s book Superforecasting, the Art and Science of Prediction, which focuses on measuring and improving our ability to forecast the future. Tetlock’s work helped lead the U.S. Director of National Intelligence to form IARPA, or the Intelligence Advanced Research Project Activity. In IARPA’s first forecasting competition, Tetlock’s crowdsourced team significantly out-forecasted U.S. government intelligence officers who had access to classified information. (It so happens that one of our team members, Greg Mazares, participated in the competition and forecasted accurately enough to qualify as a “Superforecaster.”)

We were particularly interested in Tetlock’s point about how hard the simple idea of probabilistic thinking can be to understand. This is the idea that if a weatherman projects just a 10% chance of rain, but then it rains, it doesn’t mean the weatherman was wrong. Imagine a weatherman predicts a 10% chance of rain on 100 different days. If it rains 10 of those days, then he is a perfect forecaster. That’s little solace when you’re soaked on one of those 10 days without an umbrella!

Probabilistic thinking plays a role in our investment approach. Like the weather on a given day, individual world events are hard to predict and have big near-term impact on the stock market. So how do you add value when big drivers of market performance are impossible to predict? We do this through portfolio construction.

Using our three-basket approach (consisting of basic value stocks, consistent earners, and emerging franchises), we attempt to construct a portfolio that has the ability to outperform over time regardless of outcomes of global events. The flexibility inherent in our basket approach ensures we always have a focused, yet diversified portfolio. Our hope is to construct a portfolio that has the opportunity to outperform no matter what low probability events come to pass in the future. If we consistently make good investment decisions investment by investment, with good probabilistic thinking around potential outcomes for the businesses we research, we believe can be successful in pursuing the Fund’s objectives over time.

Probabilistic thinking also plays a role in how we judge our own historic investment results. When we review individual stock performance within the portfolio, whether we made money or not isn’t the only important question to ask. Did we win for the right reasons? Did we correctly estimate the probability and size of the downside scenario? Sometimes investments with good risk/rewards lead to bad outcomes—sometimes it rains when there is a 90% chance of sun.

Similarly, probabilistic thinking is important when analyzing portfolio level performance. Over short periods of time, it may rain more or less than you predict. Over longer periods of time, short-term factors tend to cancel each other out and longer-term trends begin to emerge. This is why we like to think about performance on a three- to five-year basis, instead of just the past quarter or six-month period.

Sometimes even over longer periods of time, factors can sometimes still distort results. In an attempt to appropriately evaluate underlying performance, we offer several ways to look at portfolio performance since our bolstering of the consistent-earners basket characteristics in mid-2012. We learned a lot in the year and a half of weak performance before then, and we believe we have successfully put those lessons to work in the almost five years since.

Specifically, here are three examples of how we control our overall good results for different “macro” influences. When we run simple alpha/beta (i.e., controlling for market risk, the main driver of equity returns) our beta shows 0.96, leaving annualized alpha of 1.80% over this period. If we run a sector

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

attribution report, individual stock selection contribution to returns (i.e., Fund performance not explained by our allocation to different sectors) is 2.27% annualized. Since “risk factors” are all the rage, let’s see how we’ve done when controlling for a few of these. Running a traditional “five factor model,” remaining, unexplained alpha is 4.1% annualized over this period and statistically significant. Slicing the data a few different ways points to strong contribution from individual stock picking, just as we would hope, given our approach.

To really know whether this period of success has been based on luck or skill, you’ll have to stick around for the next five years. We like our chances.

A Quick Update on Smart Beta and ETFs

Since our initial discussion of smart beta strategies last year, we’ve found interesting research work generally supporting our hypothesis that “smart” beta is anything but. Further, we find mounting evidence that extensive use of ETFs (exchange traded funds) are leading to bad outcomes in real world portfolios. We believe passive flows are exacerbating market inefficiencies. This has created a challenging environment for intrinsic-value-based active managers over the last few years (especially those that compare themselves to the S&P 500 Index, the hardest index in the world to beat over that time period). We believe, however, that passive flows are creating exciting opportunities for managers brave enough to look different than the index. If this is true, we might expect to see a period in the future where intrinsic-value-based active managers have a much easier time outperforming passive indexes. We recently released a new white paper on this topic, now available in the Firm Insights section at www.thornburg.com.

Our summary: $480 billion today is invested in smart beta ETFs, fully 30% of ETF investments in the U.S. Smart beta flows show all the classic signs of performance chasing.

We’re off to an ok start for the first half of the fiscal year. Early in the period, the Fund did not keep pace with the broad market in the post-election rally. This seemed, in part, due to less exposure in the Fund to companies that benefited from the “Trump Trade,” i.e., companies that would benefit from lower corporate tax rates or infrastructure spending. The Fund also has significant exposure to Silicon Valley-based technology companies. After the election, many of these companies underperformed traditional network operators (Cable and Telecom) as Trump and his FCC are viewed to be a better friend to the network operators than to the software and service companies that operate on the networks (e.g. GOOGL, FB). Since the end of December, relative performance improved markedly, in part due to a reversal of many of the “Trump Trade” stocks.

Stock selection in the financials and consumer discretionary sectors aided Fund performance during the first half of the fiscal year and helped to offset weak stock selection effect in the health care and materials sectors.

We are certain that 2017 will continue to be an exciting year, especially if you “follow” or “feed” the social media juggernaut that will surround the Trump administration. We believe the market will latch on to different parts of the Trump agenda, and oscillate between optimism and pessimism toward prospects for the global economy.

While we can’t help but glance at the noise, our sights are trained on finding promising companies at a discount for the portfolio. Our focus will be on what we believe we do well—fundamental, bottom-up security selection. We like the portfolio’s current holdings, and will continue looking for other overlooked gems.

Thank you for investing alongside us in Thornburg Value Fund.

Sincerely,

Connor Browne, CFA	Robert MacDonald, CFA
Portfolio Manager	Portfolio Manager
Managing Director	Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg Value Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
Class A Share (Incep: 10/2/95)
Without sales charge		17.84	%		8.92	%		11.99	%		5.40	%		9.79	%
With sales charge		12.54	%		7.27	%		10.96	%		4.92	%		9.55	%
Class C Shares (Incep: 10/2/95)
Without sales charge		16.99	%		8.12	%		11.14	%		4.61	%		8.95	%
With sales charge		15.99	%		8.12	%		11.14	%		4.61	%		8.95	%
Class I Shares (Incep: 11/2/98)		18.32	%		9.35	%		12.43	%		5.81	%		7.57	%
Class R3 Shares (Incep: 7/1/03)		17.90	%		8.96	%		12.03	%		5.40	%		7.78	%
Class R4 Shares (Incep: 2/1/07)		18.03	%		9.07	%		12.14	%		5.51	%		5.25	%
Class R5 Shares (Incep: 2/1/05)		18.35	%		9.36	%		12.43	%		5.79	%		7.73	%
S&P 500 Index (Since 10/2/95)		17.17	%		10.37	%		13.30	%		7.51	%		8.78	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no sales charge for Class I, R3, R4, and R5 shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.39%; C shares, 2.14%; I shares, 1.07%; R3 shares, 1.81%; R4 shares, 1.75%; R5 shares, 1.46%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: I shares, 0.99%; R3 shares, 1.35%; R4 shares, 1.25%; R5 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

Glossary

The S&P 500 Index is an unmanaged broad measure of the U.S. stock market.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Alpha – A measure of the difference between a portfolio’s actual returns and its expected performance, given its level of risk as measured by beta. A positive alpha figure indicates the portfolio performed better than its beta would predict. In contrast, a negative alpha indicates under-performance, given the expectations established by the beta.

Beta – A measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.

Exchange Traded Fund (ETF) – A security that tracks an index, a commodity or a basket of assets like an index fund, but trades like a stock on an exchange. ETFs experience price changes throughout the day as they are bought and sold.

Upside/Downside Capture Ratio – A ratio that shows whether a given fund has outperformed—gained more or lost less than—a broad market benchmark during periods of market strength and weakness, and if so, by how much.

6    Semi-Annual Report

Fund Summary
Thornburg Value Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary consideration, the Fund also seeks some current income.

The Fund expects to invest primarily in domestic equity securities (primarily common stocks) selected on a value basis. However, the Fund may own a variety of securities, including foreign equity securities, partnership interests, and foreign and domestic debt obligations which, in the opinion of the Fund’s investment advisor, offer prospects for meeting the Fund’s investment goals.

MARKET CAPITALIZATION EXPOSURE

BASKET STRUCTURE

TOP TEN EQUITY HOLDINGS

JPMorgan Chase & Co.	4.1	%
Wal-Mart Stores, Inc.	3.9	%
Thermo Fisher Scientific, Inc.	3.9	%
Facebook, Inc.	3.8	%
Gilead Sciences, Inc.	3.5	%
Grand Canyon Education, Inc.	3.4	%
Activision Blizzard, Inc.	3.3	%
Medtronic plc	3.2	%
International Flavors & Fragrances, Inc.	3.1	%
Alphabet, Inc. Class C	3.1	%

There is no guarantee that the Fund will meet its investment objectives.

All portfolio information is subject to change.

SECTOR EXPOSURE

Information Technology	18.6	%
Financials	17.6	%
Health Care	15.6	%
Consumer Discretionary	14.8	%
Consumer Staples	9.0	%
Energy	4.4	%
Materials	3.1	%
Industrials	3.1	%
Telecommunication Services	2.8	%
Utilities	1.5	%
Real Estate	0.6	%
Other Assets Less Liabilities	8.9	%

TOP TEN INDUSTRY GROUPS

Pharmaceuticals, Biotechnology & Life Sciences	11.2	%
Software & Services	11.2	%
Banks	7.9	%
Technology Hardware & Equipment	7.4	%
Diversified Financials	7.3	%
Consumer Services	5.9	%
Food, Beverage & Tobacco	5.1	%
Retailing	4.5	%
Health Care Equipment & Services	4.4	%
Energy	4.4	%

Semi-Annual Report    7

Schedule of Investments
Thornburg Value Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 91.12%
BANKS — 7.94%
Banks — 7.94%
Citigroup, Inc.		459,400	$	27,481,308
Citizens Financial Group, Inc.		225,620		7,795,171
JPMorgan Chase & Co.		419,409		36,840,887
				72,117,366
CAPITAL GOODS — 0.82%
Machinery — 0.82%
Allison Transmission Holdings, Inc.		207,603		7,486,164
				7,486,164
COMMERCIAL & PROFESSIONAL SERVICES — 0.98%
Commercial Services & Supplies — 0.98%
Covanta Holding Corp.		568,774		8,929,752
				8,929,752
CONSUMER DURABLES & APPAREL — 4.39%
Household Durables — 1.84%
a TRI Pointe Homes, Inc.		1,333,678		16,724,322
Leisure Products — 2.55%
a Acushnet Holdings Corp.		911,800		15,755,904
Callaway Golf Co.		669,908		7,415,882
				39,896,108
CONSUMER SERVICES — 5.87%
Diversified Consumer Services — 3.39%
a Grand Canyon Education, Inc.		430,608		30,835,839
Hotels, Restaurants & Leisure — 2.48%
Aramark Holdings Corp.		610,976		22,526,685
				53,362,524
DIVERSIFIED FINANCIALS — 7.34%
Capital Markets — 4.98%
Apollo Global Management, LLC		1,036,419		25,205,710
Oaktree Capital Group, LLC		441,634		20,006,020
Mortgage Real Estate Investment Trusts — 2.36%
PennyMac Mortgage Investment Trust		1,207,530		21,433,658
				66,645,388
ENERGY — 4.40%
Oil, Gas & Consumable Fuels — 4.40%
Devon Energy Corp.		306,112		12,770,993
Enterprise Products Partners L.P.		985,004		27,195,960
				39,966,953
FOOD & STAPLES RETAILING — 3.95%
Food & Staples Retailing — 3.95%
Wal-Mart Stores, Inc.		497,651		35,870,684
				35,870,684
FOOD, BEVERAGE & TOBACCO — 5.06%
Food Products — 5.06%
Mead Johnson Nutrition Co.		161,839		14,416,618
Mondelez International, Inc.		231,738		9,983,273
a Nomad Foods Ltd.		1,123,935		12,869,056
The Kraft Heinz Co.		95,800		8,699,598
				45,968,545
HEALTH CARE EQUIPMENT & SERVICES — 4.43%
Health Care Equipment & Supplies — 3.40%
a Avinger, Inc.		760,168		1,444,319
Medtronic plc		365,335		29,431,388

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
Health Care Providers & Services — 1.03%
a Envision Healthcare Corp.		152,706	$	9,363,932
				40,239,639
INSURANCE — 2.32%
Insurance — 2.32%
Assured Guaranty Ltd.		568,300		21,089,613
				21,089,613
MATERIALS — 3.13%
Chemicals — 3.13%
International Flavors & Fragrances, Inc.		214,596		28,440,408
				28,440,408
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 11.20%
Biotechnology — 4.42%
Gilead Sciences, Inc.		462,370		31,404,171
a Seattle Genetics, Inc.		139,020		8,738,797
Life Sciences Tools & Services — 3.94%
Thermo Fisher Scientific, Inc.		232,786		35,755,930
Pharmaceuticals — 2.84%
a Akorn, Inc.		530,900		12,784,072
Phibro Animal Health Corp.		463,763		13,031,740
				101,714,710
REAL ESTATE — 0.59%
Real Estate Management & Development — 0.59%
a CBRE Group, Inc.		153,398		5,336,716
				5,336,716
RETAILING — 4.54%
Internet & Direct Marketing Retail — 2.46%
Expedia, Inc.		100,894		12,729,796
a Netflix, Inc.		64,967		9,602,772
Specialty Retail — 2.08%
a AutoZone, Inc.		11,178		8,082,253
Office Depot, Inc.		1,084,757		5,060,391
Staples, Inc.		655,979		5,752,936
				41,228,148
SOFTWARE & SERVICES — 11.19%
Information Technology Services — 1.01%
a Cognizant Tech Solutions Corp.		153,844		9,156,795
Internet Software & Services — 6.90%
a Alphabet, Inc. Class C		33,858		28,087,243
a Facebook, Inc.		243,800		34,631,790
Software — 3.28%
Activision Blizzard, Inc.		597,977		29,815,133
				101,690,961
TECHNOLOGY HARDWARE & EQUIPMENT — 7.39%
Communications Equipment — 3.05%
a ARRIS International plc		352,600		9,326,270
Nokia Oyj		1,819,095		9,761,269
a Palo Alto Networks, Inc.		76,474		8,617,090
Technology, Hardware, Storage & Peripherals — 4.34%
Apple, Inc.		166,700		23,948,122
HP, Inc.		867,177		15,505,125
				67,157,876
TELECOMMUNICATION SERVICES — 2.82%
Diversified Telecommunication Services — 1.39%
a Level 3 Communications, Inc.		221,619		12,681,039

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
Wireless Telecommunication Services — 1.43%
China Mobile Ltd.		1,185,700		12,976,103
				25,657,142
TRANSPORTATION — 1.27%
Air Freight & Logistics — 1.27%
United Parcel Service, Inc.		107,667	$	11,552,669
				11,552,669
UTILITIES — 1.49%
Electric Utilities — 1.49%
Fortis, Inc.		408,853		13,557,565
				13,557,565
TOTAL COMMON STOCK (Cost $637,710,210)				827,908,931
SHORT TERM INVESTMENTS — 8.95%
b Thornburg Capital Management Fund		8,132,319		81,323,190
TOTAL SHORT TERM INVESTMENTS (Cost $81,323,190)				81,323,190
TOTAL INVESTMENTS — 100.07% (Cost $719,033,400)			$	909,232,121
LIABILITIES NET OF OTHER ASSETS — (0.07)%				(669,293	)
NET ASSETS — 100.00%			$	908,562,828

Footnote Legend

a Non-income producing.

b Investment in Affiliates – Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/PRINCIPAL SEPTEMBER 30, 2016		GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/PRINCIPAL MARCH  31, 2017		MARKET VALUE MARCH  31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Avinger, Inc.*		1,466,902		—		706,734			$		$	—	$	95,207
Thornburg Capital Management Fund		7,337,220		14,363,136		13,568,037		8,132,319		81,323,190		239,861		—
Total non-controlled affiliated issuers - 8.95% of net assets									$	81,323,190	$	239,861	$	—

* Issuer not affiliated at March 31, 2017.

See notes to financial statements.

10    Semi-Annual Report

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Semi-Annual Report    11

Statement of Assets and Liabilities
Thornburg Value Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $637,710,210)	$	827,908,931
Non-controlled affiliated issuer (cost $81,323,190)		81,323,190
Receivable for fund shares sold		601,676
Dividends receivable		1,262,093
Prepaid expenses and other assets		69,662
Total Assets		911,165,552
LIABILITIES
Payable for investments purchased		52,770
Payable for fund shares redeemed		1,290,720
Unrealized depreciation on forward currency contracts (Note 7)		66,068
Payable to investment advisor and other affiliates (Note 4)		925,126
Accounts payable and accrued expenses		268,040
Total Liabilities		2,602,724
NET ASSETS	$	908,562,828
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(480,945	)
Net unrealized appreciation on investments		191,540,144
Accumulated net realized gain (loss)		(347,317,287	)
Net capital paid in on shares of beneficial interest		1,064,820,916
	$	908,562,828

12    Semi-Annual Report

Statement of Assets and Liabilities, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($355,211,532 applicable to 5,983,577 shares of beneficial interest outstanding - Note 5)	$	59.36
Maximum sales charge, 4.50% of offering price		2.80
Maximum offering price per share	$	62.16
Class C Shares:
Net asset value and offering price per share* ($165,883,726 applicable to 3,034,236 shares of beneficial interest outstanding - Note 5)	$	54.67
Class I Shares:
Net asset value, offering and redemption price per share ($315,464,215 applicable to 5,165,331 shares of beneficial interest outstanding - Note 5)	$	61.07
Class R3 Shares:
Net asset value, offering and redemption price per share ($46,943,933 applicable to 795,500 shares of beneficial interest outstanding - Note 5)	$	59.01
Class R4 Shares:
Net asset value, offering and redemption price per share ($9,400,588 applicable to 157,641 shares of beneficial interest outstanding - Note 5)	$	59.63
Class R5 Shares:
Net asset value, offering and redemption price per share ($15,658,834 applicable to 256,758 shares of beneficial interest outstanding - Note 5)	$	60.99

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    13

Statement of Operations
Thornburg Value Fund	Six Months Ended March 31, 2017

INVESTMENT INCOME
Dividend income
Non-affiliated issuers (net of foreign taxes withheld of $36,256)	$	6,584,230
Non-controlled affiliated issuer		239,861
Total Income		6,824,091
EXPENSES
Investment advisory fees (Note 4)		3,789,505
Administration fees (Note 4)
Class A Shares		223,160
Class C Shares		102,675
Class I Shares		73,756
Class R3 Shares		29,774
Class R4 Shares		5,853
Class R5 Shares		3,771
Distribution and service fees (Note 4)
Class A Shares		445,609
Class C Shares		820,305
Class R3 Shares		118,943
Class R4 Shares		11,021
Transfer agent fees
Class A Shares		205,705
Class C Shares		88,032
Class I Shares		152,852
Class R3 Shares		61,885
Class R4 Shares		14,819
Class R5 Shares		25,198
Registration and filing fees
Class A Shares		17,461
Class C Shares		8,613
Class I Shares		13,594
Class R3 Shares		8,237
Class R4 Shares		9,239
Class R5 Shares		7,895
Custodian fees (Note 2)		62,350
Professional fees		60,172
Accounting fees (Note 4)		13,802
Trustee fees		19,397
Other expenses		65,747
Total Expenses		6,459,370
Less:
Expenses reimbursed by investment advisor (Note 4)		(279,186	)
Net Expenses		6,180,184
Net Investment Income	$	643,907

14    Semi-Annual Report

Statement of Operations, Continued
Thornburg Value Fund	Six Months Ended March 31, 2017

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments
Non-affiliated issuers	$	46,650,440
Non-controlled affiliated issuers		95,207
Forward currency contracts (Note 7)		794,730
Foreign currency transactions		55,072
		47,595,449
Net change in unrealized appreciation (depreciation) on:
Non-affiliated issuer investments		35,312,430
Forward currency contracts (Note 7)		3,336
Foreign currency translations		74
		35,315,840
Net Realized and Unrealized Gain		82,911,289
Net Increase in Net Assets Resulting from Operations	$	83,555,196

See notes to financial statements.

Semi-Annual Report    15

Statements of Changes in Net Assets

Thornburg Value Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	643,907		$	5,651,412
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions		47,595,449			(9,665,095	)
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations		35,315,840			93,060,311
Net Increase (Decrease) in Net Assets Resulting from Operations		83,555,196			89,046,628
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(133,853	)		(1,158,420	)
Class I Shares		(425,629	)		(1,940,838	)
Class R3 Shares		(26,173	)		(169,459	)
Class R4 Shares		(7,537	)		(40,361	)
Class R5 Shares		(21,323	)		(101,418	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(52,205,969	)		(38,733,979	)
Class B Shares**		—			(1,613,193	)
Class C Shares		(15,739,929	)		(16,405,080	)
Class I Shares		6,668,528			(35,363,785	)
Class R3 Shares		(7,550,573	)		(14,298,695	)
Class R4 Shares		(1,018,290	)		(1,514,713	)
Class R5 Shares		(525,720	)		(6,121,309	)
Net Increase (Decrease) in Net Assets		12,568,728			(28,414,622	)
NET ASSETS
Beginning of Period		895,994,100			924,408,722
End of Period	$	908,562,828		$	895,994,100
Distribution in excess of net investment income	$	(480,945	)	$	(510,337	)

* Unaudited.

** Class B shares converted to Class A shares on August 29, 2016.

See notes to financial statements.

16    Semi-Annual Report

Notes to Financial Statements
Thornburg Value Fund	March 31, 2017

NOTE 1 – ORGANIZATION

Thornburg Value Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary objective, the Fund also seeks some current income.

The Fund currently has six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (vii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	720,431,690
Gross unrealized appreciation on a tax basis	$	210,154,213
Gross unrealized depreciation on a tax basis		(21,353,782	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	188,800,431

At March 31, 2017, the Fund had deferred tax basis late year specified ordinary losses occurring subsequent to December 31, 2015 through September 30, 2016 of $34,093. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $17,189,381. For tax purposes, such capital losses will be recognized in the year ending September 30, 2017.

18    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

At March 31, 2017, the Fund had cumulative tax basis capital losses generated prior to October 1, 2011 which may expire prior to utilization. To the extent such carryforwards are utilized, capital gain distributions may be reduced to the extent provided by regulations.

Capital loss carryforwards generated prior to October 31, 2011 expire as follows:

2017	$	136,966,580
2018		242,353,997
	$	379,320,577

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (“the Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of

Semi-Annual Report    19

Notes to Financial Statements, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

20    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL			LEVEL 1		LEVEL 2			LEVEL 3
Assets
Investments in Securities*
Common Stock	$	827,908,931		$	827,908,931	$	—		$	—
Short Term Investments		81,323,190			81,323,190		—			—
Total Investments in Securities	$	909,232,121		$	909,232,121	$	—		$	—
Liabilities
Other Financial Instruments**
Forward Currency Contracts	$	(66,068	)	$	—	$	(66,068	)	$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

** Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment.

In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.875	%
Next $500 million		0.825
Next $500 million		0.775
Next $500 million		0.725
Over $2 billion		0.675

The Fund’s effective management fee for the period ended March 31, 2017 was 0.853% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $13,802 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $7,576 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $1,118 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A, Class C, Class R3, and Class R4 shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I and Class R5 shares. The Advisor and Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an

Semi-Annual Report    21

Notes to Financial Statements, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares.

Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $111,524 for Class I shares, $112,382 for Class R3 shares, $24,990 for Class R4 shares, and $30,290 for Class R5 shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by the Trustees and Officers of the Trust and the Advisor is approximately 5.32%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had no affiliated fund transactions.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		137,710		$	7,721,111			536,840		$	27,382,909
Shares converted from Class B Shares								6,588			352,743
Shares issued to shareholders in reinvestment of dividends		2,296			127,693			20,753			1,108,861
Shares repurchased		(1,076,300	)		(60,054,773	)		(1,318,359	)		(67,578,492	)
Net increase (decrease)		(936,294	)	$	(52,205,969	)		(754,178	)	$	(38,733,979	)
Class B Shares*
Shares sold		—			—			1,210		$	56,199
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares converted to Class A shares		—			—			(7,328	)		(352,743	)
Shares repurchased		—			—			(28,859	)		(1,316,649	)
Net increase (decrease)		—			—			(34,977	)	$	(1,613,193	)
Class C Shares
Shares sold		92,118		$	4,730,525			292,210		$	13,905,964
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares repurchased		(396,237	)		(20,470,454	)		(642,811	)		(30,311,044	)
Net increase (decrease)		(304,119	)	$	(15,739,929	)		(350,601	)	$	(16,405,080	)

22    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class I Shares
Shares sold		752,590		$	43,210,035			716,301		$	37,689,763
Shares issued to shareholders in reinvestment of dividends		7,089			405,173			33,666			1,848,626
Shares repurchased		(642,189	)		(36,946,680	)		(1,414,916	)		(74,902,174	)
Net increase (decrease)		117,490		$	6,668,528			(664,949	)	$	(35,363,785	)
Class R3 Shares
Shares sold		49,918		$	2,766,502			141,034		$	7,131,504
Shares issued to shareholders in reinvestment of dividends		457			25,275			3,090			164,106
Shares repurchased		(186,664	)		(10,342,350	)		(422,847	)		(21,594,305	)
Net increase (decrease)		(136,289	)	$	(7,550,573	)		(278,723	)	$	(14,298,695	)
Class R4 Shares
Shares sold		14,742		$	841,913			52,912		$	2,743,429
Shares issued to shareholders in reinvestment of dividends		97			5,414			556			29,835
Shares repurchased		(32,854	)		(1,865,617	)		(83,787	)		(4,287,977	)
Net increase (decrease)		(18,015	)	$	(1,018,290	)		(30,319	)	$	(1,514,713	)
Class R5 Shares
Shares sold		28,508		$	1,620,149			41,585		$	2,160,843
Shares issued to shareholders in reinvestment of dividends		371			21,155			1,838			100,759
Shares repurchased		(37,661	)		(2,167,024	)		(159,826	)		(8,382,911	)
Net increase (decrease)		(8,782	)	$	(525,720	)		(116,403	)	$	(6,121,309	)

* Class B shares converted to Class A shares on August 29, 2016.

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $180,921,003 and $256,568,832, respectively.

NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of the FASB Accounting Standards Codification 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2017, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract’s counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss.

The Fund entered into forward currency contracts during the six months ended March 31, 2017 in the normal course of pursuing its investment objectives, with the objective of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign investment transactions.

Semi-Annual Report    23

Notes to Financial Statements, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations.

The quarterly average value of open sell currency contracts for the six months ended March 31, 2017 was $11,880,331. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.

The following table displays the outstanding forward currency contracts at March 31, 2017:

OUTSTANDING FORWARD CURRENCY CONTRACTS TO BUY OR SELL AT MARCH 31, 2017
CONTRACT DESCRIPTION	BUY/SELL		CONTRACT AMOUNT		CONTRACT VALUE DATE		VALUE USD		UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION
Euro		Sell		8,257,100		05/30/2017		8,831,227	$	—	$	(66,068	)
Total									$	—	$	(66,068	)
Net unrealized appreciation (depreciation)											$	(66,068	)

The outstanding forward currency contracts in the foregoing table were entered into with State Street Bank and Trust Company (“SSB”), pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement with SSB, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.

Because the ISDA Master Agreement with SSB does not result in an offset of reported amounts of financial assets and liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.

The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2017 is disclosed in the following table:

FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS AT MARCH 31, 2017
LIABILITY DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Liabilities - Unrealized depreciation on forward currency contracts	$  (66,068)

Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with SSB, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at March 31, 2017 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at March 31, 2017 is $0, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $66,068. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.

The net realized gain (loss) from forward currency contracts and the net change in unrealized appreciation (depreciation) on outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2017 are disclosed in the following tables:

NET REALIZED GAIN (LOSS) ON DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$  794,730	$  794,730

24    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Value Fund	March 31, 2017 (Unaudited)

NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$  3,336	$  3,336

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in small- and mid-cap companies and non-U.S. issuers (including developing country issuers), credit risk, and interest rate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    25

Financial Highlights

    Thornburg Value Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																			RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+			NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS		TOTAL FROM INVESTMENT OPERATIONS		DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS		TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)		PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	54.08		0.04			5.26		5.30		(0.02	)		—		(0.02	)	$	59.36		0.14	(g)		1.40	(g)		1.40	(g)		1.40	(g)		9.80		22.16	$	355,211
2016(c)(d)	$	49.17		0.32			4.76		5.08		(0.17	)		—		(0.17	)	$	54.08		0.63			1.39			1.39			1.39			10.33		31.10	$	374,237
2015(c)	$	48.09		0.07			1.03		1.10		(0.02	)		—		(0.02	)	$	49.17		0.14			1.37			1.37			1.37			2.28		59.70	$	377,299
2014(c)	$	40.84		0.10			7.41		7.51		(0.26	)		—		(0.26	)	$	48.09		0.22			1.37			1.37			1.37			18.40		72.43	$	395,216
2013(c)	$	31.51		0.08			9.25		9.33		—			—		—		$	40.84		0.23			1.40			1.40			1.40			29.61		61.50	$	400,275
2012(c)	$	27.71		(0.10	)		3.90		3.80		—			—		—		$	31.51		(0.32	)		1.32			1.32			1.32			13.71		54.16	$	470,120
CLASS C SHARES
2017(b)	$	49.97		(0.16	)		4.86		4.70		—			—		—		$	54.67		(0.60	)(g)		2.14	(g)		2.14	(g)		2.14	(g)		9.41		22.16	$	165,884
2016	$	45.63		(0.06	)		4.40		4.34		—			—		—		$	49.97		(0.12	)		2.14			2.14			2.14			9.51		31.10	$	166,821
2015	$	44.95		(0.29	)		0.97		0.68		—			—		—		$	45.63		(0.61	)		2.12			2.12			2.12			1.51		59.70	$	168,321
2014	$	38.26		(0.24	)		6.93		6.69		—			—		—		$	44.95		(0.55	)		2.14			2.14			2.14			17.49		72.43	$	175,495
2013	$	29.75		(0.18	)		8.69		8.51		—			—		—		$	38.26		(0.55	)		2.18			2.18			2.18			28.60		61.50	$	166,971
2012	$	26.36		(0.32	)		3.71		3.39		—			—		—		$	29.75		(1.09	)		2.09			2.09			2.09			12.86		54.16	$	185,286
CLASS I SHARES
2017(b)	$	55.58		0.15			5.42		5.57		(0.08	)		—		(0.08	)	$	61.07		0.53	(g)		0.99	(g)		0.99	(g)		1.07	(g)		10.03		22.16	$	315,464
2016	$	50.53		0.54			4.90		5.44		(0.39	)		—		(0.39	)	$	55.58		1.02			0.99			0.99			1.07			10.77		31.10	$	280,570
2015	$	49.28		0.28			1.04		1.32		(0.07	)		—		(0.07	)	$	50.53		0.53			0.99			0.99			1.06			2.68		59.70	$	288,642
2014	$	41.96		0.28			7.62		7.90		(0.58	)		—		(0.58	)	$	49.28		0.60			0.99			0.99			1.06			18.86		72.43	$	299,568
2013	$	32.24		0.20			9.52		9.72		—			—		—		$	41.96		0.59			0.98			0.98			1.01			30.15		61.50	$	272,468
2012	$	28.26		0.02			3.99		4.01		(0.03	)		—		(0.03	)	$	32.24		0.07			0.93			0.93			0.93			14.18		54.16	$	1,104,163
CLASS R3 SHARES
2017(b)	$	53.76		0.06			5.22		5.28		(0.03	)		—		(0.03	)	$	59.01		0.20	(g)		1.35	(g)		1.35	(g)		1.82	(g)		9.83		22.16	$	46,944
2016	$	48.86		0.34			4.74		5.08		(0.18	)		—		(0.18	)	$	53.76		0.67			1.35			1.35			1.81			10.40		31.10	$	50,089
2015	$	47.79		0.08			1.01		1.09		(0.02	)		—		(0.02	)	$	48.86		0.16			1.35			1.35			1.77			2.28		59.70	$	59,150
2014	$	40.56		0.11			7.37		7.48		(0.25	)		—		(0.25	)	$	47.79		0.23			1.35			1.35			1.77			18.45		72.43	$	74,579
2013	$	31.28		0.10			9.18		9.28		—			—		—		$	40.56		0.29			1.34			1.34			1.78			29.67		61.50	$	80,671
2012	$	27.51		(0.10	)		3.87		3.77		—			—		—		$	31.28		(0.34	)		1.35			1.35			1.66			13.70		54.16	$	131,013
CLASS R4 SHARES
2017(b)	$	54.31		0.08			5.69		5.77		(0.04	)		—		(0.04	)	$	59.63		0.30	(g)		1.24	(g)		1.24	(g)		1.78	(g)		9.88		22.16	$	9,401
2016	$	49.36		0.40			4.78		5.18		(0.23	)		—		(0.23	)	$	54.31		0.78			1.25			1.25			1.75			10.50		31.10	$	9,539
2015	$	48.24		0.14			1.01		1.15		(0.03	)		—		(0.03	)	$	49.36		0.26			1.25			1.25			1.67			2.39		59.70	$	10,167
2014	$	40.89		0.16			7.43		7.59		(0.24	)		—		(0.24	)	$	48.24		0.36			1.24			1.24			1.69			18.56		72.43	$	11,330
2013	$	31.50		0.13			9.26		9.39		—			—		—		$	40.89		0.39			1.25			1.25			1.67			29.81		61.50	$	13,340
2012	$	27.68		(0.07	)		3.89		3.82		—			—		—		$	31.50		(0.24	)		1.25			1.25			1.50			13.80		54.16	$	45,989
CLASS R5 SHARES
2017(b)	$	55.50		0.15			5.42		5.57		(0.08	)		—		(0.08	)	$	60.99		0.54	(g)		0.99	(g)		0.99	(g)		1.39	(g)		10.05		22.16	$	15,659
2016	$	50.45		0.53			4.90		5.43		(0.38	)		—		(0.38	)	$	55.50		1.00			0.99			0.99			1.46			10.78		31.10	$	14,738
2015	$	49.21		0.27			1.04		1.31		(0.07	)		—		(0.07	)	$	50.45		0.51			0.99			0.99			1.20			2.65		59.70	$	19,270
2014	$	41.89		0.28			7.61		7.89		(0.57	)		—		(0.57	)	$	49.21		0.59			0.98			0.98			1.42			18.88		72.43	$	30,676
2013	$	32.19		0.22			9.48		9.70		—			—		—		$	41.89		0.63			0.99			0.99			1.37			30.13		61.50	$	47,076
2012	$	28.22		—	(e)		3.98		3.98		(0.01	)		—		(0.01	)	$	32.19		—	(f)		0.99			0.99			1.17			14.10		54.16	$	129,995

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Class B shares were converted to Class A shares on August 29, 2016.

(e) Net investment income (loss) was less than $0.01 per share.

(f) Net investment income (loss) is less than 0.01%.

(g) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

26     Semi-Annual Report Semi-Annual Report    27

Expense Example
Thornburg Value Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	1,098.05	$	7.34
Hypothetical*	$	1,000.00	$	1,017.94	$	7.06
CLASS C SHARES
Actual	$	1,000.00	$	1,094.06	$	11.19
Hypothetical*	$	1,000.00	$	1,014.24	$	10.77
CLASS I SHARES
Actual	$	1,000.00	$	1,100.34	$	5.18
Hypothetical*	$	1,000.00	$	1,019.99	$	4.99
CLASS R3 SHARES
Actual	$	1,000.00	$	1,098.26	$	7.07
Hypothetical*	$	1,000.00	$	1,018.19	$	6.80
CLASS R4 SHARES
Actual	$	1,000.00	$	1,098.84	$	6.51
Hypothetical*	$	1,000.00	$	1,018.73	$	6.26
CLASS R5 SHARES
Actual	$	1,000.00	$	1,100.48	$	5.18
Hypothetical*	$	1,000.00	$	1,020.00	$	4.99

† Expenses are equal to the annualized expense ratio for each class (A: 1.40%; C: 2.14%; I: 0.99%; R3: 1.35%; R4: 1.24%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

28    Semi-Annual Report

Other Information
Thornburg Value Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    29

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

30    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    31

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH170

About Thornburg Investment Management It’s more than what we do. It’s how we do it. At Thornburg, we are very different in how we think, invest, and are structured. We believe this difference is what makes us successful in helping individuals reach their long-term financial goals. Flexible Perspective Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value. Collaboration Collectively, we hone ideas via borderless cross-pollination for better judgment and better results. Portfolio Construction Disciplined construction guided more by our convictions than convention. CONVICTION Thorough analysis and our relative-value framework lead to conviction in our securities selection. UNCONVENTIONAL Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point. Structured for Excellence How we think and how we invest is made possible by how we’re structured. TEAM APPROACH FAR FROM THE HERD ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg International Value Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	7
Fund Summary	8
Schedule of Investments	9
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	26
Expense Example	28
Other Information	29
Trustees’ Statement to Shareholders	30

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	TGVAX	885-215-657
Class C	THGCX	885-215-640
Class I	TGVIX	885-215-566
Class R3	TGVRX	885-215-525
Class R4	THVRX	885-215-269
Class R5	TIVRX	885-215-368
Class R6	TGIRX	885-216-804

Class I, R3, R4, R5, and R6 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small- and mid-capitalization companies may increase the risk of greater price fluctuations. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Funds invested in a smaller number of holdings may expose an investor to greater volatility.

Semi-Annual Report    3

Letter to Shareholders
Thornburg International Value Fund	March 31, 2017 (Unaudited)

April 25, 2017

Dear Fellow Shareholder:

The last six months saw the end to a volatile and headline-filled 2016, serving as a reminder that political events can, in fact, prove difficult to predict. We have generally seen strong market returns, starting in late November, as markets rallied alongside improvements in key economic indicators. That was particularly true in Europe, while in the U.S. an “unpredicted” electoral outcome resulted in a potentially pro-growth U.S. president whose party also controls the legislature.

Purchasing Managers’ Indices (PMI), a surveyed indicator of economic health, have picked up globally. In Europe, Composite PMIs in Germany, France, and the Eurozone all reached their highest levels in the last three years, showing strength in both manufacturing PMI and service PMI. If geopolitical risk remains benign and the positive economic trend continues, we could see a faster earnings recovery in the Eurozone, driven by higher regional and global nominal economic growth and improving pricing power across Europe. Simultaneously, Eurozone equity market valuations remain reasonable and discounted relative to the U.S. equity market. In Japan, the economy is levered to a global cyclical recovery and corporate earnings should improve as the global manufacturing cycle regains momentum.

For the six months ended March 31, 2017, the Thornburg International Value Fund returned 5.12% (Class A shares without sales charge). The comparable benchmarks, the MSCI EAFE Index and the MSCI ACWI ex-U.S., returned 6.48% and 6.51%, respectively.

Contributors

BNP Paribas

BNP Paribas is a France-based depository commercial bank that has a well-diversified business across Europe, coupled with a U.S. subsidiary, Bank of the West. We believe BNP is adequately capitalized, with the potential for increasing shareholder payouts, leaving the bank relatively undervalued. During the period, BNP produced an earnings beat with profits above analyst expectations. As with all banks, firming interest rates are positive for net interest margins and thus accretive to earnings.

Source: Bloomberg

Intesa Sanpaolo

Intesa Sanpaolo is Italy’s premier bank with a healthy Tier 1 capital ratio and, unlike our view on some of the non-performing loans of its Italian peers, we do not view Intesa’s non-performing loans as a concern. We purchased Intesa during the third quarter, as it had a favorable risk-reward profile, with a price/book valuation of 0.60. Its share price has since rallied, raising its P/B ratio to 0.84. This rally is largely driven by a decreasing

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

“Italian discount,” even as the Italian government, regulators, and investors continue to determine what to do with troubled banks. Another potential catalyst for Intesa is the potential to take share from its more troubled competitors.

Mitsubishi UFJ Financial Group

Mitsubishi UFJ Financial Group is the largest banking group in Japan, providing banking, financial and asset management services. It benefited from a number of developments: the Bank of Japan’s yield curve targeting program, which brings less of a focus on negative rates; a depreciating yen; and an improving economic outlook in Japan, thanks largely to the benefit that a weaker yen brings to the export-oriented Japanese economy. Mitsubishi UFJ owns 23% of Morgan Stanley and 100% of California-based Union Bank.

Anhui Conch Cement Company

Anhui Conch, one of the largest cement manufacturers in China by capacity, as well as the lowest cost producer, benefits from high-capacity utilization rates, given its primary geographic exposures to Eastern and South Central China. China has seen a few turbulent years for basic materials, but demand for cement has rebounded recently, driven by better-than-expected property demand and fixed-asset investments. Over the near term, Anhui Conch should benefit from a supply side capacity reduction effort in China and gain market share. Over the medium term, its overseas expansion is margin accretive and contributes to future earnings growth. We had been adding to the position at depressed levels, and the stock has benefited during the first quarter from higher demand and firmer cement prices.

UniCredit

UniCredit is an Italy-based, pan-European commercial bank with EUR 900 billion in assets. It is under going a credible strategic business plan aimed at improving profitability and dealing with non-performing loans. We purchased UniCredit following the December constitutional referendum, which led to the resignation of then-Prime Minister Matteo Renzi, and before UniCredit announced its long-term strategic plan. Shares have done well on the back of its rights offering, as the stock was materially undervalued. UniCredit represents a classic example of our basic value basket.

Detractors

Rakuten

Rakuten, Japanese e-commerce leader, benefits from the global secular growth trend of e-commerce companies displacing typical brick-and-mortar storefronts. Following a strong third quarter, it has since seen increasing competitive pressures causing the stock to sell off. We exited Rakuten during the period in favor of more compelling opportunities.

Seven & I Holdings

Seven & I, a Japanese convenience, supermarket, and department store retail operator, is undergoing corporate governance reform and focusing on its more profitable business lines. We believe the company to be directionally on the right track, which is why we owned the stock, but management has been slow to execute. We have put capital behind more compelling stocks in Japan.

ZTO Express

ZTO Express, a Chinese express delivery company, should benefit from growth in e-commerce, especially on volume increases as value-per-shipment declines. While the stock detracted following disappointing price performance in the wake of its initial public offering, the secular growth drivers stand to support rapid top-line and bottom-line growth. We still like the stock but chose to favor alternative e-commerce growth drivers in China.

Électricité de France

Électricité de France (EDF) is one of the world’s largest utility companies. It is expanding into global deregulated markets and is highly active in nuclear power. During the period, EDF raised capital to fund its new U.K. nuclear plant, Hinkley Point, and to strengthen its credit rating. The capital raising coupled with outages in some reactors brought EDF shares under pressure. The importance of EDF’s fleet to power price stability in Europe was exemplified last year, when EDF’s nuclear output declined, causing power price spikes across Europe and the U.K. We believe the company to be well-discounted now and well-positioned to monetize the value of its assets, paying an 11% dividend yield while we wait on share price recovery.

Nippon Telegraph & Telephone

Japanese telecommunication services provider Nippon Telegraph & Telephone (NTT) has shifted its fiber optic footprint to wholesale distribution (from retail), increasing company profitability, as it owned approximately 70% of the fiber footprint in Japan. This distribution strategy can reach more customers at lower cost to NTT. We have owned the stock for years since the business model shift announcement, and it has consistently performed well. The period saw a natural pull back for the stock, as the market favored more of an export-driven business model in Japan, as the dollar began to strengthen.

Semi-Annual Report    5

Letter to Shareholders,
Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

While economic data have improved and stock valuations are compelling outside the U.S., political risk is present. The result of the Dutch general election in mid-March was in line with expectations as Prime Minister Mark Rutte and the center-right People’s Party for Freedom and Democracy overcame the populist candidate from the Party for Freedom, Geert Wilders. Near the end of the period, Theresa May triggered Article 50, beginning the two-year process for the United Kingdom to exit the European Union. As the second round of the French presidential election approaches, we continue to evaluate the impact of geopolitical risk on our portfolio with an eye on buying promising companies with sound business fundamentals at a discount to their intrinsic value.

Thank you for investing alongside us in Thornburg International Value Fund.

Sincerely,

Lei Wang,CFA	Di Zhou,CFA
Portfolio Manager	Portfolio Manager
Managing Director	Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

6    Semi-Annual Report

Performance Summary
Thornburg International Value Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

													SINCE
	1-YR			3-YR			5-YR			10-YR			INCEP.
Class A Share (Incep: 5/28/98)
Without sales charge		8.61	%		2.94	%		4.47	%		2.58	%		7.32	%
With sales charge		3.71	%		1.38	%		3.51	%		2.11	%		7.06	%
Class C Shares (Incep: 5/28/98)
Without sales charge		7.81	%		2.19	%		3.71	%		1.84	%		6.49	%
With sales charge		6.81	%		2.19	%		3.71	%		1.84	%		6.49	%
Class I Shares (Incep: 3/30/01)		9.03	%		3.31	%		4.87	%		2.98	%		7.03	%
Class R3 Shares (Incep: 7/1/03)		8.45	%		2.77	%		4.29	%		2.42	%		8.12	%
Class R4 Shares (Incep: 2/1/07)		8.67	%		2.96	%		4.49	%		2.62	%		2.75	%
Class R5 Shares (Incep: 2/1/05)		9.01	%		3.25	%		4.78	%		2.90	%		6.21	%
Class R6 Shares (Incep: 5/1/12)		9.22	%		3.50	%		—			—			5.19	%
MSCI EAFE Index (Since 5/28/98)		11.67	%		0.50	%		5.83	%		1.05	%		3.92	%
MSCI AC World ex-U.S. Index (Net) (Since 5/28/98)		13.13	%		0.56	%		4.36	%		1.35	%		4.43	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no sales charge for Class I, R3, R4, R5 and R6 shares

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.28%; C shares, 2.02%; I shares, 0.90%; R3 shares, 1.62%; R4 shares, 1.39%; R5 shares, 0.95%; R6 shares, 0.79%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: R3 shares, 1.45%; R4 shares, 1.25%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

Effective February 1, 2017, the Fund changed one of its benchmarks from the MSCI AC World ex-U.S. Index (gross) to the MSCI AC World ex-U.S. Index (net). While those two indices include the same securities, the calculation of returns for the “net” version of the index reflects the reinvestment of dividends after deduction of withholding taxes that apply to individuals who are not resident in the issuer’s country, while the calculation of returns for the “gross” version of the index reflects the reinvestment of dividends without any withholding tax deduction. Thornburg believes that the “net” version of the index better reflects how dividends paid to the Fund in respect of its foreign investments will be reinvested, since those dividends are generally subject to withholding tax when paid to the Fund.

Glossary

The MSCI All Country (AC) World ex-US Index is a market capitalization weighted index representative of the market structure of 45 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim, excluding securities of United States’ issuers. Beginning in January 2001, the index is calculated with net dividends reinvested in U.S. dollars. Prior data is calculated with gross dividends.

The MSCI EAFE (Europe, Australasia, Far East) Index is an unmanaged index. It is a generally accepted benchmark for major overseas markets. Index weightings represent the relative capitalizations of the major overseas developed markets on a U.S. dollar adjusted basis. The index is calculated with net dividends reinvested in U.S. dollars.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Markit Composite PMI – Each country PMI for the manufacturing or service sector is based on questionnaire responses from panels of senior purchasing executives (or similar) at over 400 companies. Respondents are asked to state whether business conditions for a number of variables have improved, deteriorated or stayed the same compared with the previous month, as well as to provide reasons for any changes. The questionnaire covers the following economic variables: manufacturing, services, construction, and whole economy.

PMI (Purchasing Managers Index) – An indicator of the economic health of the manufacturing sector and for the economy as a whole. The PMI index is based on five major indicators: new orders, inventory levels, production, supplier deliveries, and the employment environment. A PMI of 50 or higher generally indicates that the industry is expanding.

Price/Book ratio (P/B ratio) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value per share.

Tier 1 Capital – The core measure of a bank’s financial strength. It is composed of core capital, which consists primarily of common stock and disclosed reserves (or retained earnings), but may also include non-redeemable non-cumulative preferred stock.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

Semi-Annual Report    7

Fund Summary
Thornburg International Value Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary consideration, the Fund also seeks some current income. The Fund invests primarily in foreign securities or depositary receipts of foreign securities. The Fund may invest in developing countries.

MARKET CAPITALIZATION EXPOSURE

BASKET STRUCTURE

TOP TEN EQUITY HOLDINGS

UniCredit S.p.A.	4.0	%
BNP Paribas SA	3.6	%
Intesa Sanpaolo S.p.A.	3.5	%
Mitsubishi UFJ Financial Group, Inc.	3.2	%
Shin-Etsu Chemical Co., Ltd.	3.1	%
China Petroleum & Chemical Corp.	3.0	%
UBS Group AG	3.0	%
Anhui Conch Cement Co., Ltd.	2.9	%
Daimler AG	2.8	%
LafargeHolcim Ltd.	2.8	%

There is no guarantee that the Fund will meet its investment objectives.

All portfolio information is subject to change. Charts may not add up to 100% due to rounding.

SECTOR EXPOSURE

Financials	24.3	%
Industrials	12.3	%
Information Technology	11.5	%
Materials	10.5	%
Health Care	9.5	%
Consumer Staples	7.6	%
Consumer Discretionary	7.2	%
Utilities	7.2	%
Energy	4.2	%
Telecommunication Services	2.3	%
Other Assets Less Liabilities	3.3	%

TOP TEN INDUSTRY GROUPS

Banks	16.4	%
Materials	10.5	%
Capital Goods	9.6	%
Utilities	7.2	%
Software & Services	5.7	%
Health Care Equipment & Services	5.4	%
Diversified Financials	4.6	%
Food, Beverage & Tobacco	4.3	%
Energy	4.2	%
Pharmaceuticals, Biotechnology & Life Sciences	4.1	%

COUNTRY EXPOSURE*

(percent of equity holdings)

Japan	16.0	%
Germany	14.7	%
China	14.3	%
France	12.6	%
Switzerland	8.3	%
United Kingdom	8.0	%
Italy	7.8	%
Spain	4.6	%
Canada	4.5	%
Netherlands	4.5	%
United States	1.6	%
Russia	1.6	%
India	1.2	%
South Korea	0.3	%

* The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived.

8    Semi-Annual Report

Schedule of Investments
Thornburg International Value Fund	March 31, 2017 (Unaudited)

	SHARES/
	PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 96.54%
AUTOMOBILES & COMPONENTS — 2.85%
Automobiles — 2.85%
Daimler AG		2,271,615	$	167,696,404
				167,696,404
BANKS — 16.44%
Banks — 16.44%
BNP Paribas SA		3,146,864		209,582,123
Commerzbank AG		14,235,033		128,746,318
Intesa Sanpaolo S.p.A.		75,117,757		204,025,259
Mitsubishi UFJ Financial Group, Inc.		29,824,505		187,444,590
UniCredit S.p.A.		15,435,552		237,943,003
				967,741,293
CAPITAL GOODS — 9.57%
Building Products — 2.47%
Daikin Industries, Ltd.		1,448,078		145,484,168
Construction & Engineering — 4.67%
Ferrovial SA		7,670,366		153,508,295
Vinci S.A.		1,528,001		121,114,288
Machinery — 2.43%
Komatsu Ltd.		5,496,854		143,259,875
				563,366,626
CONSUMER SERVICES — 1.77%
Hotels, Restaurants & Leisure — 1.77%
a Yum China Holdings, Inc.		3,828,808		104,143,577
				104,143,577
DIVERSIFIED FINANCIALS — 4.48%
Capital Markets — 4.48%
a Deutsche Bank AG		5,188,203		89,386,599
UBS Group AG		10,913,194		174,650,327
				264,036,926
ENERGY — 4.17%
Oil, Gas & Consumable Fuels — 4.17%
China Petroleum & Chemical Corp.		220,530,576		178,774,063
a Reliance Industries Ltd.		3,295,602		67,023,516
				245,797,579
FOOD & STAPLES RETAILING — 1.02%
Food & Staples Retailing — 1.02%
Carrefour SA		2,554,449		60,224,394
				60,224,394
FOOD, BEVERAGE & TOBACCO — 4.31%
Beverages — 1.52%
Heineken NV		1,047,475		89,172,201
Food Products — 2.79%
Danone SA		478,860		32,571,653
Nestle SA		1,719,832		131,951,369
				253,695,223
HEALTH CARE EQUIPMENT & SERVICES — 5.43%
Health Care Equipment & Supplies — 3.23%
a ConvaTec Ltd.		23,717,108		82,905,340
Olympus Corp.		2,791,134		107,303,095
Health Care Providers & Services — 2.20%
Fresenius SE & Co. KGaA		1,608,474		129,260,234
				319,468,669
HOUSEHOLD & PERSONAL PRODUCTS — 2.26%
Household Products — 2.26%
Reckitt Benckiser plc		1,460,241		133,300,039
				133,300,039

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

	SHARES/
	PRINCIPAL AMOUNT		VALUE
INSURANCE — 3.24%
Insurance — 3.24%
AXA S.A.		3,561,118	$	92,144,744
NN Group NV		3,024,183		98,350,641
				190,495,385
MATERIALS — 10.54%
Chemicals — 4.76%
Potash Corporation of Saskatchewan, Inc.		5,797,618		99,023,315
Shin-Etsu Chemical Co., Ltd.		2,095,767		181,546,546
Construction Materials — 5.78%
Anhui Conch Cement Co., Ltd.		57,351,384		172,674,950
LafargeHolcim Ltd.		2,832,941		167,433,841
				620,678,652
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 4.11%
Biotechnology — 2.41%
Shire plc		2,432,307		142,041,112
Pharmaceuticals — 1.70%
Dong-E-E-Jiao Co., Ltd.		4,198,910		39,967,570
Yunnan Baiyao Group Co., Ltd.		4,852,123		59,928,133
				241,936,815
RETAILING — 2.62%
Internet & Direct Marketing Retail — 2.62%
a Ctrip.com International, Ltd. ADR		3,144,070		154,531,040
				154,531,040
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.41%
Semiconductors & Semiconductor Equipment — 3.41%
Infineon Technologies AG		6,395,887		130,628,843
a NXP Semiconductors N.V.		675,365		69,900,277
				200,529,120
SOFTWARE & SERVICES — 5.66%
Information Technology Services — 0.75%
Wirecard AG		795,941		44,068,794
Internet Software & Services — 3.34%
a Alibaba Group Holding Ltd. ADR		989,994		106,751,053
a Yandex NV		4,109,571		90,122,892
Software — 1.57%
a PTC, Inc.		1,760,806		92,530,355
				333,473,094
TECHNOLOGY HARDWARE & EQUIPMENT — 2.43%
Electronic Equipment, Instruments & Components — 2.43%
OMRON Corporation		3,259,569		143,025,191
				143,025,191
TELECOMMUNICATION SERVICES — 2.34%
Diversified Telecommunication Services — 2.34%
Deutsche Telekom AG		7,878,112		138,041,750
				138,041,750
TRANSPORTATION — 2.71%
Road & Rail — 2.71%
Canadian Pacific Railway Ltd.		1,084,042		159,267,451
				159,267,451
UTILITIES — 7.18%
Electric Utilities — 3.96%
Electricite de France SA		12,801,510		107,778,269
Iberdrola S.A.		15,067,418		107,775,624
Korea Electric Power Corp.		430,780		17,892,990
Multi-Utilities — 3.22%
National Grid plc		7,701,207		97,791,053
Veolia Environnement SA		4,894,284		91,684,644
				422,922,580
TOTAL COMMON STOCK (Cost $5,097,153,907)				5,684,371,808

10    Semi-Annual Report

Schedule of Investments, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

	SHARES/
	PRINCIPAL AMOUNT		VALUE
RIGHTS — 0.13%
DIVERSIFIED FINANCIALS — 0.13%
Capital Markets — 0.13%
a Deutsche Bank AG Subscription Rights		3,251,300	$	7,769,409
TOTAL RIGHTS (Cost $0)				7,769,409
SHORT TERM INVESTMENTS — 3.67%
b Thornburg Capital Management Fund		21,590,731		215,907,309
TOTAL SHORT TERM INVESTMENTS (Cost $215,907,309)				215,907,309
TOTAL INVESTMENTS — 100.34% (Cost $5,313,061,216)			$	5,908,048,526
LIABILITIES NET OF OTHER ASSETS — (0.34)%				(19,850,967	)
NET ASSETS — 100.00%			$	5,888,197,559

Footnote Legend

a Non-income producing.

b Investment in Affiliates – Holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940 because the Fund’s holding represented 5% or more of the company’s voting securities during the period, are shown below:

	SHARES/PRINCIPAL						SHARES/PRINCIPAL		MARKET VALUE
	SEPTEMBER 30,		GROSS		GROSS		MARCH 31,		MARCH 31,		INVESTMENT		REALIZED
ISSUER	2016		ADDITIONS		REDUCTIONS		2017		2017		INCOME		GAIN (LOSS)
Thornburg Capital Management Fund		60,637,324		147,532,083		186,578,676		21,590,731	$	215,907,309	$	894,619	$	—
Total non-controlled affiliated issuers - 3.67% of net assets									$	215,907,309	$	894,619	$	—

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ADR American Depositary Receipt

See notes to financial statements.

Semi-Annual Report    11

Statement of Assets and Liabilities
Thornburg International Value Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $5,097,153,907)	$	5,692,141,217
Non-controlled affiliated issuer (cost $215,907,309)		215,907,309
Cash denominated in foreign currency (cost $11)		11
Receivable for investments sold		29,608,990
Receivable for fund shares sold		9,549,708
Unrealized appreciation on forward currency contracts (Note 7)		15,130,368
Dividends receivable		15,978,960
Dividend reclaim receivable		11,417,903
Prepaid expenses and other assets		140,810
Total Assets		5,989,875,276
LIABILITIES
Payable for investments purchased		20,905,374
Payable for fund shares redeemed		68,810,108
Unrealized depreciation on forward currency contracts (Note 7)		2,207,187
Payable to investment advisor and other affiliates (Note 4)		4,615,360
Deferred taxes payable (Note 2)		502,246
Accounts payable and accrued expenses		4,637,442
Total Liabilities		101,677,717
NET ASSETS	$	5,888,197,559
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(2,404,244	)
Net unrealized appreciation on investments		607,190,098
Accumulated net realized gain (loss)		410,257,911
Net capital paid in on shares of beneficial interest		4,873,153,794
	$	5,888,197,559

12    Semi-Annual Report

Statement of Assets and Liabilities, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($804,480,756 applicable to 32,661,084 shares of beneficial interest outstanding - Note 5)	$	24.63
Maximum sales charge, 4.50% of offering price		1.16
Maximum offering price per share	$	25.79
Class C Shares:
Net asset value and offering price per share* ($444,460,894 applicable to 19,931,887 shares of beneficial interest outstanding - Note 5)	$	22.30
Class I Shares:
Net asset value, offering and redemption price per share ($3,244,291,482 applicable to 128,337,673 shares of beneficial interest outstanding - Note 5)	$	25.28
Class R3 Shares:
Net asset value, offering and redemption price per share ($294,140,994 applicable to 11,944,457 shares of beneficial interest outstanding - Note 5)	$	24.63
Class R4 Shares:
Net asset value, offering and redemption price per share ($222,570,000 applicable to 9,097,750 shares of beneficial interest outstanding - Note 5)	$	24.46
Class R5 Shares:
Net asset value, offering and redemption price per share ($439,777,403 applicable to 17,409,898 shares of beneficial interest outstanding - Note 5)	$	25.26
Class R6 Shares:
Net asset value, offering and redemption price per share ($438,476,030 applicable to 17,403,192 shares of beneficial interest outstanding - Note 5)	$	25.20

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    13

Statement of Operations
Thornburg International Value Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Dividend income
Non-affiliated issuers (net of foreign taxes withheld of $3,918,746)	$	35,244,070
Non-controlled affiliated issuer		894,619
Total Income		36,138,689
EXPENSES
Investment advisory fees (Note 4)		23,779,452
Administration fees (Note 4)
Class A Shares		562,137
Class C Shares		296,073
Class I Shares		959,669
Class R3 Shares		188,018
Class R4 Shares		147,792
Class R5 Shares		119,368
Distribution and service fees (Note 4)
Class A Shares		1,120,919
Class C Shares		2,361,532
Class R3 Shares		751,049
Class R4 Shares		294,605
Transfer agent fees
Class A Shares		799,860
Class C Shares		360,665
Class I Shares		2,403,960
Class R3 Shares		364,381
Class R4 Shares		369,455
Class R5 Shares		756,214
Class R6 Shares		4,463
Registration and filing fees
Class A Shares		20,161
Class C Shares		11,496
Class I Shares		37,520
Class R3 Shares		9,006
Class R4 Shares		13,239
Class R5 Shares		11,247
Class R6 Shares		15,035
Custodian fees (Note 2)		883,850
Professional fees		124,755
Accounting fees (Note 4)		121,030
Trustee fees		149,355
Other expenses		561,373
Total Expenses		37,597,679
Less:
Expenses reimbursed by investment advisor (Note 4)		(900,216	)
Net Expenses		36,697,463
Net Investment Loss	$	(558,774	)

14    Semi-Annual Report

Statement of Operations, Continued
Thornburg International Value Fund	Six Months Ended March 31, 2017 (Unaudited)

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Non-affiliated issuer investments	$	378,211,754
Forward currency contracts (Note 7)		73,123,237
Foreign currency transactions		(1,413,058	)
		449,921,933
Net change in unrealized appreciation (depreciation) on:
Non-affiliated issuer investments (net of change in deferred taxes payable of $ 502,246)		(158,466,741	)
Forward currency contracts (Note 7)		12,298,969
Foreign currency translations		(106,604	)
		(146,274,376	)
Net Realized and Unrealized Gain		303,647,557
Net Increase in Net Assets Resulting from Operations	$	303,088,783

See notes to financial statements.

Semi-Annual Report    15

Statements of Changes in Net Assets

Thornburg International Value Fund

	SIX MONTHS ENDED			YEAR ENDED
	MARCH 31, 2017*			SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income (loss)	$	(558,774	)	$	150,733,271
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions		449,921,933			(43,733,165	)
Net unrealized appreciation (depreciation) on investments, deferred taxes payable, forward currency contracts, and foreign currency translations		(146,274,376	)		67,937,358
Net Increase (Decrease) in Net Assets Resulting from Operations		303,088,783			174,937,464
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		—			(17,373,490	)
Class B Shares		—			(2,771	)
Class C Shares		—			(7,105,228	)
Class I Shares		(3,323,751	)		(89,286,035	)
Class R3 Shares		—			(4,928,035	)
Class R4 Shares		—			(4,718,359	)
Class R5 Shares		(377,744	)		(10,876,039	)
Class R6 Shares		(884,968	)		(10,748,034	)
From realized gains
Class A Shares		—			(206,189,949	)
Class B Shares		—			(1,033,957	)
Class C Shares		—			(114,820,498	)
Class I Shares		—			(855,268,178	)
Class R3 Shares		—			(72,397,527	)
Class R4 Shares		—			(50,071,447	)
Class R5 Shares		—			(102,430,055	)
Class R6 Shares		—			(63,967,908	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(227,801,910	)		(164,111,525	)
Class B Shares**		—			(6,445,128	)
Class C Shares		(110,081,960	)		(54,628,381	)
Class I Shares		(1,300,219,542	)		(696,459,252	)
Class R3 Shares		(44,999,420	)		(80,286,274	)
Class R4 Shares		(55,736,134	)		(15,765,354	)
Class R5 Shares		(111,649,892	)		(53,965,690	)
Class R6 Shares		(57,162,562	)		114,956,797
Net Decrease in Net Assets		(1,609,149,100	)		(2,392,984,853	)
NET ASSETS
Beginning of Period		7,497,346,659			9,890,331,512
End of Period	$	5,888,197,559		$	7,497,346,659
Undistributed (distribution in excess of) net investment income	$	(2,404,244	)	$	2,740,993

* Unaudited.

** Class B shares converted to Class A shares on August 29, 2016.

See notes to financial statements.

16    Semi-Annual Report

Notes to Financial Statements
Thornburg International Value Fund	March 31, 2017

NOTE 1 – ORGANIZATION

Thornburg International Value Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary objective, the Fund also seeks some current income.

The Fund currently has seven classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” “Class R5,” and “Class R6”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vi) Class R6 shares are sold at net asset value without a sales charge at the time of purchase, and (vii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/ or retention of the collateral may be subject to legal proceedings.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	5,313,061,216
Gross unrealized appreciation on a tax basis	$	634,475,753
Gross unrealized depreciation on a tax basis		(39,488,443	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	594,987,310

At March 31, 2017, the Fund had deferred tax basis late year specified ordinary losses occurring subsequent to December 31, 2015 through September 30, 2016 of $1,834,099. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

18    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $37,870,759. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Semi-Annual Report    19

Notes to Financial Statements, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

20    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL			LEVEL 1			LEVEL 2			LEVEL 3
Assets
Investments in Securities*
Common Stock	$	5,692,141,217		$	5,692,141,217		$	—		$	—
Short Term Investments		215,907,309			215,907,309			—			—
Total Investments in Securities	$	5,908,048,526		$	5,908,048,526		$	—		$	—
Other Financial Instruments**
Forward Currency Contracts	$	15,130,368		$	—		$	15,130,368		$	—
Spot Currency	$	125,775		$	125,775		$	—		$	—
Liabilities
Other Financial Instruments**
Forward Currency Contracts	$	(2,207,187	)	$	—		$	(2,207,187	)	$	—
Spot Currency	$	(647	)	$	(647	)	$	—		$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

** Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment.

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.875	%
Next $500 million		0.825
Next $500 million		0.775
Next $500 million		0.725
Over $2 billion		0.675

The Fund’s effective management fee for the period ended March 31, 2017 was 0.712% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017, the Fund paid $121,030 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $7,722 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $6,776 from redemptions of Class C shares of the Fund.

Semi-Annual Report    21

Notes to Financial Statements, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A, Class C, Class R3 and Class R4 shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I, Class R5 and Class R6 shares. The Advisor and Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $287,094 for Class R3 shares, $255,546 for Class R4 shares, and $357,576 for Class R5 shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by the Trustees and Officers of the Trust and the Advisor is approximately 0.68%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had no transactions with affiliated funds.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		2,530,861		$	58,539,453			6,663,995		$	159,603,304
Shares converted from Class B Shares		—			—			75,049			1,748,646
Shares issued to shareholders in reinvestment of dividends		—			—			8,432,658			205,155,554
Shares repurchased		(12,134,268	)		(286,341,363	)		(22,493,529	)		(530,619,029	)
Net increase (decrease)		(9,603,407	)	$	(227,801,910	)		(7,321,827	)	$	(164,111,525	)
Class B Shares*
Shares sold		—			—			10,346		$	225,076
Shares issued to shareholders in reinvestment of dividends		—			—			36,621			810,856
Shares converted to Class A shares		—			—			(83,044	)		(1,748,646	)
Shares repurchased		—			—			(262,313	)		(5,732,414	)
Net increase (decrease)		—			—			(298,390	)	$	(6,445,128	)

22    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class C Shares
Shares sold		282,948		$	6,007,268			2,344,411		$	51,715,435
Shares issued to shareholders in reinvestment of dividends		—			—			4,231,136			93,936,821
Shares repurchased		(5,491,837	)		(116,089,228	)		(9,254,631	)		(200,280,637	)
Net increase (decrease)		(5,208,889	)	$	(110,081,960	)		(2,679,084	)	$	(54,628,381	)
Class I Shares
Shares sold		12,668,408		$	304,438,242			53,906,880		$	1,294,025,547
Shares issued to shareholders in reinvestment of dividends		113,651			2,862,880			33,325,928			830,190,740
Shares repurchased		(66,594,251	)		(1,607,520,664	)		(115,362,911	)		(2,820,675,539	)
Net increase (decrease)		(53,812,192	)	$	(1,300,219,542	)		(28,130,103	)	$	(696,459,252	)
Class R3 Shares
Shares sold		964,013		$	22,536,345			3,233,955		$	76,543,365
Shares issued to shareholders in reinvestment of dividends		—			—			2,938,343			71,615,592
Shares repurchased		(2,891,574	)		(67,535,765	)		(9,747,898	)		(228,445,231	)
Net increase (decrease)		(1,927,561	)	$	(44,999,420	)		(3,575,600	)	$	(80,286,274	)
Class R4 Shares
Shares sold		877,236		$	20,420,528			2,976,526		$	70,234,604
Shares issued to shareholders in reinvestment of dividends		1			21			1,632,286			39,409,828
Shares repurchased		(3,284,594	)		(76,156,683	)		(5,312,446	)		(125,409,786	)
Net increase (decrease)		(2,407,357	)	$	(55,736,134	)		(703,634	)	$	(15,765,354	)
Class R5 Shares
Shares sold		1,639,915		$	39,436,396			5,121,121		$	125,836,118
Shares issued to shareholders in reinvestment of dividends		14,395			362,333			4,346,336			108,199,722
Shares repurchased		(6,293,056	)		(151,448,621	)		(11,882,677	)		(288,001,530	)
Net increase (decrease)		(4,638,746	)	$	(111,649,892	)		(2,415,220	)	$	(53,965,690	)
Class R6 Shares
Shares sold		1,450,273		$	34,713,277			8,733,531		$	205,874,135
Shares issued to shareholders in reinvestment of dividends		35,112			881,677			3,013,284			74,472,093
Shares repurchased		(3,872,498	)		(92,757,516	)		(7,004,088	)		(165,389,431	)
Net increase (decrease)		(2,387,113	)	$	(57,162,562	)		4,742,727		$	114,956,797

* Class B shares converted to Class A shares on August 29, 2016.

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $2,838,151,744 and $4,446,116,514, respectively.

Semi-Annual Report    23

Notes to Financial Statements, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

NOTE 7 —   DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of the FASB Accounting Standards Codification 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2017, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract’s counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss.

The Fund entered into forward currency contracts during the six months ended March 31, 2017 in the normal course of pursuing its investment objectives, with the objective of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign investment transactions.

These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations.

The quarterly average value of open sell currency contracts for the six months ended March 31, 2017 was $1,012,012,352. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.

The following table displays the outstanding forward currency contracts at March 31, 2017:

OUTSTANDING FORWARD CURRENCY CONTRACTS TO BUY OR SELL AT MARCH 31, 2017
CONTRACT DESCRIPTION	BUY/SELL		CONTRACT AMOUNT		CONTRACT VALUE DATE		VALUE USD		UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION
Japanese Yen		Buy		38,604,772,100		05/10/2017		347,208,261	$	9,062,297	$	—
Japanese Yen		Buy		30,149,436,200		05/10/2017		271,161,640		6,068,071		—
Japanese Yen		Sell		68,754,208,300		05/10/2017		618,369,901		—		(2,207,187	)
Total									$	15,130,368	$	(2,207,187	)
Net unrealized appreciation (depreciation)									$	12,923,181		—

The outstanding forward currency contracts in the foregoing table were entered into with State Street Bank and Trust Company (“SSB”), pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement with SSB, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.

Because the ISDA Master Agreement with SSB does not result in an offset of reported amounts of financial assets and liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.

24    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg International Value Fund	March 31, 2017 (Unaudited)

The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2017 is disclosed in the following table:

FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS AT MARCH 31, 2017
ASSET DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Assets - Unrealized appreciation on forward currency contracts	$15,130,368
LIABILITY DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Liabilities - Unrealized depreciation on forward currency contracts	$(2,207,187)

Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with SSB, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at March 31, 2017 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at March 31, 2017 is $12,923,181, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $0. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.

The net realized gain (loss) from forward currency contracts and the net change in unrealized appreciation (depreciation) on outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2017 are disclosed in the following tables:

NET REALIZED GAIN (LOSS) ON DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$ 73,123,237	$ 73,123,237

NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$ 12,298,969	$ 12,298,969

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in small- and mid-cap companies and non-U.S. issuers (including developing country issuers), credit risk, and interest rate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    25

Financial Highlights

    Thornburg International Value Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																						RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+			NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL  FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS			TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	23.43		(0.03	)		1.23			1.20			—			—			—		$	24.63		(0.22	)(h)		1.32	(h)		1.32	(h)		1.32	(h)		5.12			44.69	$	804,481
2016(c)(d)	$	27.46		0.36			0.25			0.61			(0.39	)		(4.25	)		(4.64	)	$	23.43		1.51			1.28			1.28			1.28			1.90			103.90	$	990,194
2015(c)	$	29.84		0.24			0.16			0.40			(0.26	)		(2.52	)		(2.78	)	$	27.46		0.82			1.27			1.27			1.27			1.25			70.88	$	1,361,529
2014(c)	$	30.12		0.19			(0.23	)		(0.04	)		(0.24	)		—			(0.24	)	$	29.84		0.63			1.26			1.26			1.26			(0.14	)		37.25	$	2,601,689
2013(c)	$	26.08		0.26			4.02			4.28			(0.24	)		—			(0.24	)	$	30.12		0.92			1.25			1.25			1.25			16.49			34.67	$	5,212,813
2012(c)	$	23.14		0.28			2.95			3.23			(0.29	)		—			(0.29	)	$	26.08		1.09			1.29			1.29			1.29			14.02			17.86	$	5,429,316
CLASS C SHARES
2017(b)	$	21.29		(0.10	)		1.11			1.01			—			—			—		$	22.30		(0.94	)(h)		2.05	(h)		2.05	(h)		2.05	(h)		4.74			44.69	$	444,461
2016	$	25.40		0.17			0.24			0.41			(0.27	)		(4.25	)		(4.52	)	$	21.29		0.77			2.02			2.02			2.02			1.12			103.90	$	535,169
2015	$	27.86		0.05			0.11			0.16			(0.10	)		(2.52	)		(2.62	)	$	25.40		0.19			1.99			1.99			1.99			0.52			70.88	$	706,606
2014	$	28.17		—	(e)		(0.23	)		(0.23	)		(0.08	)		—			(0.08	)	$	27.86		—	(f)		1.99			1.99			1.99			(0.83	)		37.25	$	874,358
2013	$	24.48		0.04			3.77		��	3.81			(0.12	)		—			(0.12	)	$	28.17		0.15			2.01			2.01			2.01			15.62			34.67	$	1,181,438
2012	$	21.77		0.08			2.77			2.85			(0.14	)		—			(0.14	)	$	24.48		0.35			2.03			2.03			2.03			13.14			17.86	$	1,254,732
CLASS I SHARES
2017(b)	$	24.02		0.01			1.28			1.29			(0.03	)		—			(0.03	)	$	25.28		0.12	(h)		0.94	(h)		0.94	(h)		0.94	(h)		5.35			44.69	$	3,244,292
2016	$	28.04		0.47			0.23			0.70			(0.47	)		(4.25	)		(4.72	)	$	24.02		1.91			0.90			0.90			0.90			2.21			103.90	$	4,375,955
2015	$	30.43		0.38			0.13			0.51			(0.38	)		(2.52	)		(2.90	)	$	28.04		1.27			0.90			0.90			0.90			1.65			70.88	$	5,895,731
2014	$	30.76		0.33			(0.25	)		0.08			(0.41	)		—			(0.41	)	$	30.43		1.05			0.88			0.88			0.88			0.23			37.25	$	7,748,950
2013	$	26.66		0.38			4.10			4.48			(0.38	)		—			(0.38	)	$	30.76		1.34			0.86			0.86			0.86			16.94			34.67	$	14,601,876
2012	$	23.65		0.40			3.00			3.40			(0.39	)		—			(0.39	)	$	26.66		1.53			0.88			0.88			0.88			14.47			17.86	$	12,505,553
CLASS R3 SHARES
2017(b)	$	23.44		(0.04	)		1.23			1.19			—			—			—		$	24.63		(0.33	)(h)		1.45	(h)		1.45	(h)		1.64	(h)		5.08			44.69	$	294,141
2016	$	27.47		0.31			0.25			0.56			(0.34	)		(4.25	)		(4.59	)	$	23.44		1.31			1.45			1.45			1.62			1.67			103.90	$	325,135
2015	$	29.86		0.21			0.13			0.34			(0.21	)		(2.52	)		(2.73	)	$	27.47		0.71			1.45			1.45			1.58			1.09			70.88	$	479,223
2014	$	30.14		0.15			(0.24	)		(0.09	)		(0.19	)		—			(0.19	)	$	29.86		0.51			1.45			1.45			1.61			(0.30	)		37.25	$	754,139
2013	$	26.11		0.20			4.02			4.22			(0.19	)		—			(0.19	)	$	30.14		0.71			1.45			1.45			1.57			16.23			34.67	$	1,152,795
2012	$	23.17		0.24			2.95			3.19			(0.25	)		—			(0.25	)	$	26.11		0.95			1.45			1.45			1.60			13.82			17.86	$	1,323,765
CLASS R4 SHARES
2017(b)	$	23.26		(0.02	)		1.22			1.20			—			—			—		$	24.46		(0.14	)(h)		1.25	(h)		1.25	(h)		1.47	(h)		5.16			44.69	$	222,570
2016	$	27.30		0.37			0.23			0.60			(0.39	)		(4.25	)		(4.64	)	$	23.26		1.55			1.25			1.25			1.39			1.87			103.90	$	267,623
2015	$	29.69		0.25			0.15			0.40			(0.27	)		(2.52	)		(2.79	)	$	27.30		0.86			1.24			1.24			1.37			1.30			70.88	$	333,247
2014	$	29.98		0.21			(0.24	)		(0.03	)		(0.26	)		—			(0.26	)	$	29.69		0.70			1.25			1.25			1.49			(0.12	)		37.25	$	722,349
2013	$	25.96		0.25			4.01			4.26			(0.24	)		—			(0.24	)	$	29.98		0.91			1.25			1.25			1.38			16.49			34.67	$	1,342,883
2012	$	23.04		0.29			2.93			3.22			(0.30	)		—			(0.30	)	$	25.96		1.16			1.25			1.25			1.45			14.05			17.86	$	1,495,958
CLASS R5 SHARES
2017(b)	$	24.01		0.01			1.26			1.27			(0.02	)		—			(0.02	)	$	25.26		0.10	(h)		0.99	(h)		0.99	(h)		1.14	(h)		5.30			44.69	$	439,777
2016	$	28.03		0.46			0.23			0.69			(0.46	)		(4.25	)		(4.71	)	$	24.01		1.88			0.95			0.95			0.95			2.19			103.90	$	529,330
2015	$	30.41		0.30			0.19			0.49			(0.35	)		(2.52	)		(2.87	)	$	28.03		1.01			0.98			0.98			1.11			1.57			70.88	$	685,617
2014	$	30.71		0.30			(0.24	)		0.06			(0.36	)		—			(0.36	)	$	30.41		0.97			0.99			0.99			1.12			0.17			37.25	$	2,171,673
2013	$	26.61		0.34			4.10			4.44			(0.34	)		—			(0.34	)	$	30.71		1.20			0.96			0.96			1.00			16.80			34.67	$	4,376,567
2012	$	23.61		0.37			3.00			3.37			(0.37	)		—			(0.37	)	$	26.61		1.44			0.99			0.99			1.06			14.33			17.86	$	4,512,144
CLASS R6 SHARES
2017(b)	$	23.95		0.04			1.26			1.30			(0.05	)		—			(0.05	)	$	25.20		0.33	(h)		0.78	(h)		0.78	(h)		0.78	(h)		5.43			44.69	$	438,476
2016	$	27.97		0.53			0.21			0.74			(0.51	)		(4.25	)		(4.76	)	$	23.95		2.19			0.74			0.74			0.74			2.40			103.90	$	473,941
2015	$	30.36		0.39			0.17			0.56			(0.43	)		(2.52	)		(2.95	)	$	27.97		1.33			0.74			0.74			0.74			1.81			70.88	$	420,849
2014	$	30.70		0.40			(0.26	)		0.14			(0.48	)		—			(0.48	)	$	30.36		1.28			0.73			0.73			0.73			0.42			37.25	$	872,512
2013	$	26.62		0.46			4.05			4.51			(0.43	)		—			(0.43	)	$	30.70		1.59			0.74			0.74			0.74			17.07			34.67	$	1,345,680
2012(g)	$	27.14		0.15			(0.38	)		(0.23	)		(0.29	)		—			(0.29	)	$	26.62		1.35	(h)		0.76	(h)		0.76	(h)		0.76	(h)		(0.77	)		17.86	$	478,078

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Class B shares were converted to Class A shares on August 29, 2016.

(e) Net investment income (loss) was less than $0.01 per share.

(f) Net investment income (Loss) is less than 0.01%.

(g) Effective date of this class of shares was May 1, 2012.

(h) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

26    Semi-Annual Report Semi-Annual Report    27

Expense Example
Thornburg International Value Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT  VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	1,051.22	$	6.78
Hypothetical*	$	1,000.00	$	1,018.33	$	6.67
CLASS C SHARES
Actual	$	1,000.00	$	1,047.44	$	10.45
Hypothetical*	$	1,000.00	$	1,014.72	$	10.28
CLASS I SHARES
Actual	$	1,000.00	$	1,053.53	$	4.84
Hypothetical*	$	1,000.00	$	1,020.22	$	4.76
CLASS R3 SHARES
Actual	$	1,000.00	$	1,050.77	$	7.41
Hypothetical*	$	1,000.00	$	1,017.70	$	7.29
CLASS R4 SHARES
Actual	$	1,000.00	$	1,051.59	$	6.39
Hypothetical*	$	1,000.00	$	1,018.70	$	6.29
CLASS R5 SHARES
Actual	$	1,000.00	$	1,052.97	$	5.07
Hypothetical*	$	1,000.00	$	1,020.00	$	4.99
CLASS R6 SHARES
Actual	$	1,000.00	$	1,054.33	$	3.98
Hypothetical*	$	1,000.00	$	1,021.06	$	3.92

† Expenses are equal to the annualized expense ratio for each class (A: 1.32%; C: 2.05%; I: 0.95%; R3: 1.45%; R4: 1.25%; R5: 0.99%; R6: 0.78%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

28    Semi-Annual Report

Other Information
Thornburg International Value Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    29

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

30    Semi-Annual Reports

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    31

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH176

2    Semi-Annual Report

Semi-Annual Report

Thornburg Core Growth Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	10
Statement of Operations	12
Statements of Changes in Net Assets	14
Notes to Financial Statements	15
Financial Highlights	22
Expense Example	24
Other Information	25
Trustees’ Statement to Shareholders	26

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	THCGX	885-215-582
Class C	TCGCX	885-215-574
Class I	THIGX	885-215-475
Class R3	THCRX	885-215-517
Class R4	TCGRX	885-215-251
Class R5	THGRX	885-215-350

Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small- and mid-capitalization companies may increase the risk of greater price fluctuations. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Funds invested in a limited number of holdings may expose an investor to greater volatility.

Semi-Annual Report    3

Letter to Shareholders

Thornburg Core Growth Fund March 31, 2017 (Unaudited)

April 24, 2017

Dear Fellow Shareholder:

For the six months ended March 31, 2017, Thornburg Core Growth Fund returned 6.10% for Class A shares, without sales charge, underperforming its benchmark, the Russell 3000 Growth Index, which returned 9.94%. On March 31, 2017, the net asset value per Class A share was $29.94.

For the first half of our fiscal year domestic equity markets were strong, with the period heavily influenced by the outcome of the U.S. presidential election. Donald J. Trump’s surprising victory led to a sudden expectation for tax breaks, fiscal stimulus, and protectionist trade policies. Since the election financials, consumer discretionary, and technology stocks have been the best performers in the benchmark, while consumer staples and energy companies have lagged. This has proved a tailwind to the Fund on a sector allocation basis, due to both our current preference for higher-growth companies in the technology and financials spaces, as well as our underweight to lower-growth consumer staples and more volatile energy stocks. As I write this in April, the Trump administration has not yet passed any notable legislation, so perhaps the market’s optimism is misplaced. Or perhaps policy isn’t driving stocks as much as a resilient economy and strong company fundamentals. Price-to-earnings multiples have expanded, but at only roughly half the rate of stock prices, as earnings have been better than expected and driven positive revisions.

For Core Growth Fund our strongest performance came from our financials companies. We don’t own traditional banks or insurance companies, but do have interest-rate-sensitive growth companies like SVB Financial Group, Charles Schwab Corp., and asset manager Affiliated Managers Group. These are companies that we favor for their strong fundamentals and growth prospects. As interest rates climbed on optimism over increased economic growth following the U.S. presidential election, these names each experienced significant tailwinds to performance. Our biggest headwind from a sector perspective was information technology. Large-cap technology stocks were especially strong this period, and although we own several of the best performers like Alphabet, Facebook, Apple and Netflix, these also constitute significant weights in the benchmark. Additionally, we held too many negative performers to keep up with the market. These included Palo Alto Networks, discussed below in the period’s detractors.

Top contributors to performance included:

SVB Financial Group – SVB Financial (formerly Silicon Valley Bank) specializes in providing banking services to startup, technology, and life science companies. Currently the stock is considered an interest rate play given the fee waivers in their third-party money market business and the net interest margin compression in their banking business. Recently, rate expectations have shifted higher, benefiting sentiment around SVB.

Apple – Apple’s stock performance was driven by better-than-expected earnings. The outlook for personal computers has improved. Additionally, the market continues to look forward to the latest iPhone introduction. Initial data points suggest that the current iPhone cycle could trend better than last year’s model, which should drive a return to earnings growth for Apple in fiscal 2017. Increasing earnings expectations have driven a re-rating in the shares.

Netflix – Netflix stock pulled back following weak subscriber growth trends when they revealed their second quarter 2016 earnings results. This gave the Fund the opportunity to re-initiate a position in the leading global subscription video on-demand provider at a significant discount to our calculation of intrinsic value. Third quarter reported results showed subscriber additions back on track and the stock price responded positively.

Charles Schwab Corp. – Charles Schwab is a leading discount brokerage firm offering a wide selection of investment products. Over time Schwab has been a very consistent asset gatherer, collecting net inflows of approximately $10 billion per month. Schwab is also fairly innovative, quick to launch their own in-house, Schwab-branded ETFs as well as a robo-advisor product. Currently the stock is considered an interest rate play given the fee waivers in their money market business and the net interest margin compression in their banking business.

Affiliated Managers Group – AMG is a global asset manager with approximately $628bn in assets under management. We increased our position during the period as global market volatility pushed the stock towards attractive valuation levels. As markets rebounded in February and March, AMG was a strong performer as it tracked the recovery.

Top Detractors to performance included:

Under Armour – Under Armour is one of the largest performance apparel and footwear makers globally. In the period, management announced a consecutive reduction in profitability and also took down revenue growth expectations. The departure of the CFO after less than a year in the role was a further point of concern. We sold the position as the deteriorating fundamentals were no longer justified by its current valuation.

Palo Alto Networks – Palo Alto is the fastest growing company in the firewall space, but had another tough quarter. Slowing hardware sales have raised doubts about their long-term growth trajectory. We are confident that the combination of a product cycle and a shift to the cloud (firewall without hardware) are temporarily depressing growth. We don’t think

4    Semi-Annual Report

Letter to Shareholders, Continued
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

Palo Alto’s competitive position and long-term opportunity have changed.

Acuity Brands – Acuity is the leader in lighting solutions for the commercial construction market in North America. During the reported period, Acuity saw a slowdown in small projects with short lead times due to concerns around the U.S. presidential election. The long-term thesis remains compelling as the small project weakness is likely to be temporary.

Allergan – Allergan is a global pharmaceutical manufacturing and distribution company. During the period volume erosion of mature/legacy products weighed on the business. We view this as an issue that will persist and we exited our position.

Patterson Companies – Patterson is a distributor of dental products and veterinary supplies. We sold our position as fundamentals deteriorated due to a weakening dental market and execution issues with the sales force also impairing growth.

Conclusion

Over the life of Core Growth Fund we have held true to our philosophy and process, which tends to favor quality growth stocks, smaller capitalization ranges than the benchmark, long-term secular themes, and idiosyncratic opportunities at attractive valuations. While we recognize there will be periods when our style is out of favor, over time it has served our investors well. We remain bullish about the prospects of the individual companies we have identified through our bottom up process.

Thank you for investing alongside us in Thornburg Core Growth Fund.

Sincerely,

Greg Dunn

Managing Director

Portfolio Manager

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
Class A Shares (Incep: 12/27/00)
Without sales charge		14.80	%		3.94	%		9.87	%		4.83	%		5.93	%
With sales charge		9.63	%		2.36	%		8.86	%		4.34	%		5.63	%
Class C Shares (Incep: 12/27/00)
Without sales charge		13.94	%		3.15	%		9.05	%		4.04	%		5.10	%
With sales charge		12.94	%		3.15	%		9.05	%		4.04	%		5.10	%
Class I Shares (Incep: 11/3/03)		15.28	%		4.37	%		10.34	%		5.30	%		8.50	%
Class R3 Shares (Incep: 7/1/03)		14.66	%		3.83	%		9.77	%		4.75	%		8.73	%
Class R4 Shares (Incep: 2/1/07)		14.78	%		3.93	%		9.88	%		4.86	%		4.68	%
Class R5 Shares (Incep: 10/3/05)		15.30	%		4.37	%		10.34	%		5.30	%		7.30	%
Russell 3000 Growth Index (Since: 12/27/00)		16.27	%		10.90	%		13.22	%		9.04	%		5.00	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no sales charge for Class I, R3, R4, and R5 shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.40%; C shares, 2.16%; I shares, 1.05%; R3 shares, 1.81%; R4 shares, 1.86%; R5 shares, 1.30%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: I shares, 0.99%, R3 shares, 1.50%; R4 shares, 1.40%; R5 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

Glossary

The Russell 3000 Growth Index is an unmanaged index comprised of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values. The stocks in this index are also members of either the Russell 1000 Growth or the Russell 2000 Growth indices. Source: Frank Russell Company.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Exchange Traded Fund (ETF) – A security that tracks an index, a commodity or a basket of assets like an index fund, but trades like a stock on an exchange. ETFs experience price changes throughout the day as they are bought and sold.

P/E – Price/Earnings ratio (P/E ratio) is a valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share. Forecasted P/E is not intended to be a forecast of the fund’s future performance.

6    Semi-Annual Report

Fund Summary
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks long-term growth of capital by investing in equity securities selected for their growth potential.

The Fund expects to invest primarily in domestic equity securities (primarily common stocks) selected for their growth potential. However, the Fund may own a variety of securities, including foreign equity securities and partnership interests. The Fund may also invest in developing countries.

MARKET CAPITALIZATION EXPOSURE

BASKET STRUCTURE

TOP TEN EQUITY HOLDINGS

Visa, Inc.	4.1	%
Apple, Inc.	4.1	%
Facebook, Inc.	3.7	%
Alphabet, Inc. Class C	3.5	%
PayPal Holdings, Inc.	2.9	%
FleetCor Technologies, Inc.	2.8	%
Las Vegas Sands Corp.	2.7	%
Affiliated Managers Group, Inc.	2.7	%
SVB Financial Group	2.7	%
Amazon.com, Inc.	2.7	%

There is no guarantee that the Fund will meet its investment objective.

All portfolio information is subject to change. Charts may not add up to 100% due to rounding.

SECTOR EXPOSURE

Information Technology	41.6	%
Consumer Discretionary	20.5	%
Health Care	9.5	%
Consumer Staples	7.1	%
Financials	6.2	%
Industrials	3.5	%
Energy	1.6	%
Materials	1.6	%
Other Assets Less Liabilities	8.4	%
TOP TEN INDUSTRY GROUPS
Software & Services	33.2	%
Retailing	11.7	%
Technology Hardware & Equipment	6.6	%
Pharmaceuticals, Biotechnology & Life Sciences	5.0	%
Food & Staples Retailing	5.0	%
Consumer Services	4.6	%
Health Care Equipment & Services	4.4	%
Diversified Financials	3.6	%
Banks	2.7	%
Consumer Durables & Apparel	2.4	%
COUNTRY EXPOSURE*
(percent of equity holdings)
United States	95.2	%
Argentina	1.9	%
France	1.9	%
Australia	1.0	%

* The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived.

Semi Annual Report    7

Schedule of Investments

Thornburg Core Growth Fund March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 91.56%
BANKS — 2.66%
Banks — 2.66%
a SVB Financial Group		88,871	$	16,538,004
				16,538,004
CAPITAL GOODS — 2.00%
Electrical Equipment — 2.00%
Acuity Brands, Inc.		60,951		12,434,004
				12,434,004
COMMERCIAL & PROFESSIONAL SERVICES — 1.46%
Professional Services — 1.46%
a Verisk Analytics, Inc.		112,025		9,089,709
				9,089,709
CONSUMER DURABLES & APPAREL — 2.44%
Household Durables — 2.44%
Newell Brands, Inc.		321,500		15,165,155
				15,165,155
CONSUMER SERVICES — 4.58%
Hotels, Restaurants & Leisure — 4.58%
a Chipotle Mexican Grill, Inc.		25,910		11,543,423
.Las Vegas Sands Corp.		296,200		16,904,134
				28,447,557
DIVERSIFIED FINANCIALS — 3.58%
Capital Markets — 3.58%
Affiliated Managers Group, Inc.		102,453		16,796,145
WisdomTree Investments, Inc.		600,481		5,452,367
				22,248,512
ENERGY — 1.60%
Oil, Gas & Consumable Fuels — 1.60%
a Concho Resources, Inc.		77,309		9,921,837
				9,921,837
FOOD & STAPLES RETAILING — 5.01%
Food & Staples Retailing — 5.01%
a Sprouts Farmers Market, Inc.		655,616		15,157,842
Wal-Mart Stores, Inc.		220,917		15,923,697
				31,081,539
FOOD, BEVERAGE & TOBACCO — 2.10%
Beverages — 2.10%
a Monster Beverage Corp.		282,313		13,034,391
				13,034,391
HEALTH CARE EQUIPMENT & SERVICES — 4.42%
Health Care Equipment & Supplies — 2.56%
a DexCom, Inc.		139,034		11,780,351
a Inogen, Inc.		52,994		4,110,215
Health Care Providers & Services — 1.86%
a DaVita, Inc.		169,800		11,541,306
				27,431,872
MATERIALS — 1.57%
Chemicals — 1.57%
Monsanto Co.		86,300		9,769,160
				9,769,160
MEDIA — 1.80%
Media — 1.80%
Comcast Corp.		297,118		11,168,666
				11,168,666
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 5.04%
Biotechnology — 3.44%
a Alexion Pharmaceuticals, Inc.		99,946		12,117,453
Gilead Sciences, Inc.		136,300		9,257,496
Life Sciences Tools & Services — 1.60%
a Illumina, Inc.		58,090		9,912,478
				31,287,427
RETAILING — 11.66%
Internet & Direct Marketing Retail — 7.79%
a Amazon.com, Inc.		18,653		16,536,630
Expedia, Inc.		101,728		12,835,022
a Netflix, Inc.		43,274		6,396,330
a priceline.com, Inc.		7,102		12,641,347

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
Multiline Retail — 3.87%
Dollar General Corp.		133,220	$	9,289,431
a Dollar Tree, Inc.		187,800		14,734,788
				72,433,548
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.83%
Semiconductors & Semiconductor Equipment — 1.83%
a Cavium, Inc.		158,403		11,351,159
				11,351,159
SOFTWARE & SERVICES — 33.17%
Information Technology Services — 9.85%
a FleetCor Technologies, Inc.		115,844		17,542,257
a PayPal Holdings, Inc.		417,799		17,973,713
Visa, Inc.		288,529		25,641,572
Internet Software & Services — 12.54%
a Alphabet, Inc. Class C		25,895		21,481,456
a CoStar Group, Inc.		52,789		10,938,937
a Criteo SA ADR		214,205		10,708,108
a Facebook, Inc.		159,762		22,694,192
a Zillow Group, Inc. Class C		357,854		12,048,944
Software — 10.78%
a Atlassian Corp. plc		193,159		5,785,112
a Globant S.A.		298,500		10,865,400
a Proofpoint, Inc.		151,355		11,254,758
a Rapid7, Inc.		422,254		6,325,365
a ServiceNow, Inc.		125,165		10,948,182
a Splunk, Inc.		183,651		11,439,621
a Workday, Inc.		123,867		10,315,644
				205,963,261
TECHNOLOGY HARDWARE & EQUIPMENT — 6.64%
Communications Equipment — 2.55%
a Palo Alto Networks, Inc.		140,231		15,801,229
Technology, Hardware, Storage & Peripherals — 4.09%
Apple, Inc.		176,905		25,414,172
				41,215,401
TOTAL COMMON STOCK (Cost $422,179,868)				568,581,202
SHORT TERM INVESTMENTS — 9.23%
b Thornburg Capital Management Fund		5,733,667		57,336,670
TOTAL SHORT TERM INVESTMENTS (Cost $57,336,670)				57,336,670
TOTAL INVESTMENTS — 100.79% (Cost $479,516,538)			$	625,917,872
LIABILITIES NET OF OTHER ASSETS — (0.79)%				(4,922,853	)
NET ASSETS — 100.00%			$	620,995,019

Footnote Legend

a Non-income producing.

b Investment in Affiliates—Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/ PRINCIPAL SEPTEMBER 30, 2016		GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/ PRINCIPAL MARCH 31, 2017		MARKET VALUE MARCH 31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Thornburg Capital Management Fund		4,908,697		17,081,853		16,256,883		5,733,667	$	57,336,670	$	180,255	$	—
Total non-controlled affiliated issuers - 9.23% of net assets									$	57,336,670	$	180,255	$	—

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ADR American Depositary Receipt

See notes to financial statements.

Semi-Annual Report    9

Statement of Assets and Liabilities
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $422,179,868)	$	568,581,202
Non-controlled affiliated issuer (cost $57,336,670)		57,336,670
Receivable for investments sold		7,844,393
Receivable for fund shares sold		1,295,800
Dividends receivable		44,688
Prepaid expenses and other assets		67,897
Total Assets		635,170,650
LIABILITIES
Payable for investments purchased		10,999,249
Payable for fund shares redeemed		2,316,790
Payable to investment advisor and other affiliates (Note 4)		652,014
Accounts payable and accrued expenses		207,578
Total Liabilities		14,175,631
NET ASSETS	$	620,995,019
NET ASSETS CONSIST OF
Accumulated net investment loss	$	(8,829,097	)
Net unrealized appreciation on investments		146,401,334
Accumulated net realized gain (loss)		(215,098,542	)
Net capital paid in on shares of beneficial interest		698,521,324
	$	620,995,019

10    Semi-Annual Report

Statement of Assets and Liabilities, Continued
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($184,270,040 applicable to 6,155,610 shares of beneficial interest outstanding - Note 5)	$	29.94
Maximum sales charge, 4.50% of offering price		1.41
Maximum offering price per share	$	31.35
Class C Shares:
Net asset value and offering price per share* ($141,179,210 applicable to 5,364,637 shares of beneficial interest outstanding - Note 5)	$	26.32
Class I Shares:
Net asset value, offering and redemption price per share ($206,494,426 applicable to 6,471,185 shares of beneficial interest outstanding - Note 5)	$	31.91
Class R3 Shares:
Net asset value, offering and redemption price per share ($50,084,893 applicable to 1,680,531 shares of beneficial interest outstanding - Note 5)	$	29.80
Class R4 Shares:
Net asset value, offering and redemption price per share ($5,416,069 applicable to 180,214 shares of beneficial interest outstanding - Note 5)	$	30.05
Class R5 Shares:
Net asset value, offering and redemption price per share ($33,550,381 applicable to 1,052,521 shares of beneficial interest outstanding - Note 5)	$	31.88

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    11

Statement of Operations

Thornburg Core Growth Fund Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Dividend income
Non-affiliated issuers	$	1,200,942
Non-controlled affiliated issuer		180,255
Total Income		1,381,197
EXPENSES
Investment advisory fees (Note 4)		2,699,900
Administration fees (Note 4)
Class A Shares		117,816
Class C Shares		90,846
Class I Shares		49,664
Class R3 Shares		32,268
Class R4 Shares		3,731
Class R5 Shares		8,547
Distribution and service fees (Note 4)
Class A Shares		235,120
Class C Shares		725,460
Class R3 Shares		128,780
Class R4 Shares		7,391
Transfer agent fees
Class A Shares		102,246
Class C Shares		88,856
Class I Shares		82,706
Class R3 Shares		64,261
Class R4 Shares		11,472
Class R5 Shares		59,323
Registration and filing fees
Class A Shares		8,997
Class C Shares		8,647
Class I Shares		9,120
Class R3 Shares		8,437
Class R4 Shares		9,013
Class R5 Shares		8,058
Custodian fees (Note 2)		41,725
Professional fees		24,378
Accounting fees (Note 4)		9,385
Trustee fees		13,162
Other expenses		55,093
Total Expenses		4,704,402
Less:
Expenses reimbursed by investment advisor (Note 4)		(224,071	)
Net Expenses		4,480,331
Net Investment Loss	$	(3,099,134	)

12    Semi-Annual Report

Statement of Operations, Continued
Thornburg Core Growth Fund	Six Months Ended March 31, 2017 (Unaudited)

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on non-affiliated issuer investments	$	38,200,348
Net change in unrealized appreciation (depreciation) on non-affiliated issuer investments		1,307,870
Net Realized and Unrealized Gain		39,508,218
Net Increase in Net Assets Resulting from Operations	$	36,409,084

See notes to financial statements.

Semi-Annual Report    13

Statements of Changes in Net Assets

Thornburg Core Growth Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income (loss)	$	(3,099,134	)	$	(7,401,668	)
Net realized gain (loss) on investments		38,200,348			9,780,002
Net unrealized appreciation (depreciation) on investments		1,307,870			43,558,418
Net Increase (Decrease) in Net Assets Resulting from Operations		36,409,084			45,936,752
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(25,897,724	)		(50,041,105	)
Class C Shares		(22,719,319	)		(30,801,495	)
Class I Shares		(4,474,835	)		(58,233,894	)
Class R3 Shares		(8,658,213	)		(18,964,601	)
Class R4 Shares		(1,752,762	)		(3,465,547	)
Class R5 Shares		(7,121,185	)		(9,684,705	)
Net Decrease in Net Assets		(34,214,954	)		(125,254,595	)
NET ASSETS
Beginning of Period		655,209,973			780,464,568
End of Period	$	620,995,019		$	655,209,973
Accumulated net investment loss	$	(8,829,097	)	$	(5,729,963	)

* Unaudited.

See notes to financial statements.

14    Semi-Annual Report

Notes to Financial Statements
Thornburg Core Growth Fund	March 31, 2017

NOTE 1 – ORGANIZATION

Thornburg Core Growth Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential.

The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service fee, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may bear a service fee, and (vii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase

Semi-Annual Report    15

Notes to Financial Statements, Continued
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	479,516,538
Gross unrealized appreciation on a tax basis	$	152,951,697
Gross unrealized depreciation on a tax basis		(6,550,363	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	146,401,334

16    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

At March 31, 2017, the Fund had deferred tax basis late-year ordinary investment losses occurring subsequent to December 31, 2015 through September 30, 2016 of $5,729,963. For tax purposes, such ordinary losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $24,900,607. For tax purposes, such capital losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $226,993,175 generated prior to October 1, 2011 which may be carried forward to offset future capital gains. To the extent such carryforwards are utilized, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards expire September 30, 2018.

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

18    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities*
Common Stock	$	568,581,202	$	568,581,202	$	—	$	—
Short Term Investments		57,336,670		57,336,670		—		—
Total Investments in Securities	$	625,917,872	$	625,917,872	$	—	$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.875	%
Next $500 million		0.825
Next $500 million		0.775
Next $500 million		0.725
Over $2 billion		0.675

The Fund’s effective management fee for the period ended March 31, 2017 was 0.865% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017, the Fund paid $9,385 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $5,853 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $1,590 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Advisor or securities dealers and other financial institutions at the Advisor’s request an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A, Class C, Class R3, and Class R4 shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I or Class R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

Semi-Annual Report    19

Notes to Financial Statements, Continued
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, The Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $62,939 for Class I shares, $81,704 for Class R3 shares, $17,011 for Class R4 shares, and $62,417 for Class R5 shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by Trustees and Officers of the Trust and the Advisor is approximately 7.23%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had no transactions with affiliated funds.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		171,433		$	4,898,411			492,618		$	13,190,882
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares repurchased		(1,075,044	)		(30,796,135	)		(2,413,586	)		(63,231,987	)
Net increase (decrease)		(903,611	)	$	(25,897,724	)		(1,920,968	)	$	(50,041,105	)
Class C Shares
Shares sold		104,082		$	2,606,885			406,148		$	9,771,822
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares repurchased		(1,009,302	)		(25,326,204	)		(1,741,483	)		(40,573,317	)
Net increase (decrease)		(905,220	)	$	(22,719,319	)		(1,335,335	)	$	(30,801,495	)
Class I Shares
Shares sold		711,080		$	21,661,367			927,799		$	26,349,638
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares repurchased		(858,619	)		(26,136,202	)		(3,162,309	)		(84,583,532	)
Net increase (decrease)		(147,539	)	$	(4,474,835	)		(2,234,510	)	$	(58,233,894	)
Class R3 Shares
Shares sold		133,709		$	3,835,946			286,391		$	7,559,165
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares repurchased		(438,992	)		(12,494,159	)		(1,003,594	)		(26,523,766	)
Net increase (decrease)		(305,283	)	$	(8,658,213	)		(717,203	)	$	(18,964,601	)

20    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class R4 Shares
Shares sold		49,060		$	1,424,444			203,623		$	5,252,801
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares repurchased		(109,629	)		(3,177,206	)		(330,597	)		(8,718,348	)
Net increase (decrease)		(60,569	)	$	(1,752,762	)		(126,974	)	$	(3,465,547	)
Class R5 Shares
Shares sold		85,159		$	2,609,111			173,654		$	4,899,966
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares repurchased		(321,008	)		(9,730,296	)		(519,703	)		(14,584,671	)
Net increase (decrease)		(235,849	)	$	(7,121,185	)		(346,049	)	$	(9,684,705	)

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $251,135,464 and $326,054,988, respectively.

NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.

During the six months ended March 31, 2017, the Fund did not invest in any derivative financial instruments of the type addressed by ASC 815.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in small- and mid-cap companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    21

Financial Highlights

Thornburg Core Growth Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																			RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+			NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME		DIVIDENDS FROM NET REALIZED GAINS		TOTAL DIVIDENDS		NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	28.22		(0.14	)		1.86			1.72			—		—		—	$	29.94		(0.96	)(d)		1.40	(d)		1.40	(d)		1.40	(d)		6.10			44.01	$	184,270
2016(c)	$	26.09		(0.27	)		2.40			2.13			—		—		—	$	28.22		(1.00	)		1.40			1.40			1.40			8.16			86.24	$	199,178
2015(c)	$	26.44		(0.26	)		(0.09	)		(0.35	)		—		—		—	$	26.09		(0.93	)		1.39			1.39			1.39			(1.32	)		96.02	$	234,284
2014(c)	$	24.35		(0.28	)		2.37			2.09			—		—		—	$	26.44		(1.06	)		1.40			1.40			1.40			8.58			100.62	$	277,099
2013(c)	$	19.11		(0.21	)		5.45			5.24			—		—		—	$	24.35		(1.01	)		1.45			1.45			1.45			27.42			91.92	$	279,483
2012(c)	$	13.33		(0.17	)		5.95			5.78			—		—		—	$	19.11		(1.02	)		1.48			1.49			1.48			43.36			122.93	$	225,945
CLASS C SHARES
2017(b)	$	24.90		(0.22	)		1.64			1.42			—		—		—	$	26.32		(1.73	)(d)		2.17	(d)		2.17	(d)		2.17	(d)		5.70			44.01	$	141,179
2016	$	23.20		(0.41	)		2.11			1.70			—		—		—	$	24.90		(1.76	)		2.16			2.16			2.16			7.33			86.24	$	156,115
2015	$	23.69		(0.42	)		(0.07	)		(0.49	)		—		—		—	$	23.20		(1.69	)		2.15			2.15			2.15			(2.07	)		96.02	$	176,422
2014	$	21.98		(0.43	)		2.14			1.71			—		—		—	$	23.69		(1.81	)		2.14			2.14			2.14			7.78			100.62	$	200,664
2013	$	17.38		(0.34	)		4.94			4.60			—		—		—	$	21.98		(1.76	)		2.20			2.20			2.20			26.47			91.92	$	182,999
2012	$	12.22		(0.28	)		5.44			5.16			—		—		—	$	17.38		(1.79	)		2.25			2.25			2.25			42.23			122.93	$	156,597
CLASS I SHARES
2017(b)	$	30.01		(0.08	)		1.98			1.90			—		—		—	$	31.91		(0.55	)(d)		0.99	(d)		0.99	(d)		1.05	(d)		6.33			44.01	$	206,494
2016	$	27.64		(0.17	)		2.54			2.37			—		—		—	$	30.01		(0.59	)		0.99			0.99			1.05			8.57			86.24	$	198,658
2015	$	27.90		(0.16	)		(0.10	)		(0.26	)		—		—		—	$	27.64		(0.53	)		0.99			0.99			1.05			(0.93	)		96.02	$	244,691
2014	$	25.59		(0.18	)		2.49			2.31			—		—		—	$	27.90		(0.65	)		0.99			0.99			1.03			9.03			100.62	$	251,122
2013	$	19.99		(0.12	)		5.72			5.60			—		—		—	$	25.59		(0.55	)		0.99			0.99			1.02			28.01			91.92	$	191,358
2012	$	13.88		(0.09	)		6.20			6.11			—		—		—	$	19.99		(0.52	)		0.99			0.99			1.08			44.02			122.93	$	116,567
CLASS R3 SHARES
2017(b)	$	28.10		(0.15	)		1.85			1.70			—		—		—	$	29.80		(1.06	)(d)		1.50	(d)		1.50	(d)		1.82	(d)		6.05			44.01	$	50,085
2016	$	26.01		(0.29	)		2.38			2.09			—		—		—	$	28.10		(1.10	)		1.50			1.50			1.81			8.04			86.24	$	55,809
2015	$	26.39		(0.29	)		(0.09	)		(0.38	)		—		—		—	$	26.01		(1.05	)		1.50			1.50			1.79			(1.44	)		96.02	$	70,310
2014	$	24.33		(0.31	)		2.37			2.06			—		—		—	$	26.39		(1.16	)		1.50			1.50			1.80			8.47			100.62	$	90,788
2013	$	19.11		(0.22	)		5.44			5.22			—		—		—	$	24.33		(1.06	)		1.50			1.50			1.79			27.32			91.92	$	95,545
2012	$	13.33		(0.18	)		5.96			5.78			—		—		—	$	19.11		(1.04	)		1.50			1.50			1.80			43.36			122.93	$	106,353
CLASS R4 SHARES
2017(b)	$	28.33		(0.14	)		1.86			1.72			—		—		—	$	30.05		(0.96	)(d)		1.40	(d)		1.40	(d)		1.97	(d)		6.07			44.01	$	5,416
2016	$	26.19		(0.27	)		2.41			2.14			—		—		—	$	28.33		(1.00	)		1.40			1.40			1.86			8.17			86.24	$	6,821
2015	$	26.54		(0.26	)		(0.09	)		(0.35	)		—		—		—	$	26.19		(0.94	)		1.40			1.40			1.82			(1.32	)		96.02	$	9,632
2014	$	24.44		(0.28	)		2.38			2.10			—		—		—	$	26.54		(1.06	)		1.40			1.40			1.77			8.59			100.62	$	11,306
2013	$	19.18		(0.20	)		5.46			5.26			—		—		—	$	24.44		(0.96	)		1.40			1.40			1.79			27.42			91.92	$	10,277
2012	$	13.37		(0.16	)		5.97			5.81			—		—		—	$	19.18		(0.93	)		1.40			1.40			1.78			43.46			122.93	$	9,344
CLASS R5 SHARES
2017(b)	$	29.98		(0.08	)		1.98			1.90			—		—		—	$	31.88		(0.55	)(d)		0.99	(d)		0.99	(d)		1.36	(d)		6.34			44.01	$	33,550
2016	$	27.61		(0.17	)		2.54			2.37			—		—		—	$	29.98		(0.59	)		0.99			0.99			1.30			8.58			86.24	$	38,629
2015	$	27.87		(0.16	)		(0.10	)		(0.26	)		—		—		—	$	27.61		(0.54	)		0.99			0.99			1.24			(0.93	)		96.02	$	45,126
2014	$	25.56		(0.18	)		2.49			2.31			—		—		—	$	27.87		(0.65	)		0.99			0.99			1.28			9.04			100.62	$	61,818
2013	$	19.97		(0.12	)		5.71			5.59			—		—		—	$	25.56		(0.55	)		0.99			0.99			1.12			27.99			91.92	$	62,146
2012	$	13.86		(0.09	)		6.20			6.11			—		—		—	$	19.97		(0.52	)		0.98			0.99			1.32			44.08			122.93	$	61,411

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

22    Semi-Annual Report Semi-Annual Report    23

Expense Example
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING  PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	1,060.95	$	7.21
Hypothetical*	$	1,000.00	$	1,017.93	$	7.06
CLASS C SHARES
Actual	$	1,000.00	$	1,057.03	$	11.12
Hypothetical*	$	1,000.00	$	1,014.12	$	10.89
CLASS I SHARES
Actual	$	1,000.00	$	1,063.31	$	5.09
Hypothetical*	$	1,000.00	$	1,020.00	$	4.99
CLASS R3 SHARES
Actual	$	1,000.00	$	1,060.50	$	7.71
Hypothetical*	$	1,000.00	$	1,017.45	$	7.55
CLASS R4 SHARES
Actual	$	1,000.00	$	1,060.71	$	7.19
Hypothetical*	$	1,000.00	$	1,017.95	$	7.04
CLASS R5 SHARES
Actual	$	1,000.00	$	1,063.38	$	5.09
Hypothetical*	$	1,000.00	$	1,020.00	$	4.99

† Expenses are equal to the annualized expense ratio for each class (A: 1.40%; C: 2.17%; I: 0.99%; R3: 1.50%; R4: 1.40%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

24     Semi-Annual Report

Other Information
Thornburg Core Growth Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www. thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    25

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

26    Semi-Annual Report.

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors . Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management .

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg ..com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report.    27

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH180

About Thornburg Investment Management

It’s more than what we do. It’s how we do it.

At Thornburg, we are very different in how we think, invest, and are structured . We believe this difference is what makes us successful in helping individuals reach their long-term financial goals.

How we THINK

Flexible Perspective

Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value.

Collaboration

Collectively, we hone ideas via borderless cross-pollination for better judgment and better results.

How we INVEST

Portfolio Construction

Disciplined construction guided more by our convictions than convention.

CONVICTION

Thorough analysis and our relative-value framework lead to conviction in our securities selection.

UNCONVENTIONAL

Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point.

How we’re STRUCTURED

Structured for Excellence

How we think and how we invest is made possible by how we’re structured.

TEAM APPROACH FAR FROM THE HERD ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg International Growth Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	26
Expense Example	28
Other Information	29
Trustees’ Statement to Shareholders	30

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	TIGAX	885-215-319
Class C	TIGCX	885-215-293
Class I	TINGX	885-215-244
Class R3	TIGVX	885-215-178
Class R4	TINVX	885-215-160
Class R5	TINFX	885-215-152
Class R6	THGIX	885-216-820

Class I, R3, R4, R5, and R6 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small- and mid-capitalization companies may increase the risk of greater price fluctuations. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Semi-Annual Report    3

Letter to Shareholders

Thornburg International Growth Fund March 31, 2017 (Unaudited)

April 17, 2017

Dear Fellow Shareholder:

For the six months ended March 31, 2017, Thornburg International Growth Fund returned 4.73% for the Class A shares (without sales charge), outperforming the benchmark MSCI All Country (AC) World ex-U.S. Growth Index, which returned 2.88%. On March 31, 2017, the net asset value (NAV) of the Class A shares was $20.13.

At the start of this semi-annual period, global markets were generally weak and investor risk taking was at a minimum leading into the U.S. general election. Although Trump’s victory was a surprise to consensus expectations, and investors initially reacted negatively, as markets digested the ramifications of a Trump presidency, coupled with a Republican-controlled Congress, we witnessed initial skepticism turn into enthusiasm. Investors are optimistic that the pro-business and pro-growth agenda of the new administration will be positive for the U.S. economy and corporate earnings.

We’ve seen a rally that began initially with U.S. equities extend globally, with non-U.S. equities also performing well in this period. International markets have benefited as global growth expectations have risen.

As largely expected, the U.S. Federal Reserve raised benchmark interest rates twice in this period, each time by a quarter of a percentage point. With the second hike, the tone around the pace of further Fed tightening was interpreted as unexpectedly dovish. This took currency markets by surprise and led to a reversal of trades that resulted in the U.S. dollar weakening in the back part of the period. As a result, already solid returns for international stocks in local terms this period saw further improvement in dollar-denominated terms.

Another major event was the U.K. triggering Article 50 to initiate the “Brexit” process from the European Union. By triggering Article 50, the U.K. now has two years to negotiate an exit deal. Markets absorbed the event without missing a beat and for now investors are optimistic that the departure will proceed without serious economic disruption, as evidenced by the British pound strengthening in the days post Article 50. It remains to be seen what the actual terms of the Brexit agreement will be and the associated long-run implications. We will keep a watchful eye and remain cognizant of the potential risks to economic growth and currency fluctuations.

In the eurozone, we are seeing healthy economic activity and the pace of recovery gathering strength. Manufacturing output, as measured by the Purchasing Managers’ Index (PMI), is well into expansionary territory and reached its highest level in six years. Unemployment rates have fallen to their lowest levels since 2009, with more than one million people having found employment over the past year. This improvement in growth has been coupled with low core inflation readings, thus giving the European Central Bank leeway to maintain accommodative monetary policy, supporting further economic expansion.

Performance Discussion

During this period, large-capitalization stocks outperformed vis-à-vis mid- and small-capitalization stocks. Although this was a headwind for the Fund, because we favor smaller capitalization ranges, our portfolio still delivered positive results relative to the benchmark thanks to effective individual stock selection, particularly in the technology, health care, and consumer staples sectors.

Information technology was the best performing sector in the benchmark for this period, and our considerable overweight here was a tailwind to returns. We also saw good gains in consumer staples and health care, with most of the performance attribution coming from stock selection as opposed to allocation effects. The worst performing sectors in the benchmark were energy, real estate, and telecommunication services. These are all sectors in which we have limited to no exposure.

Geographically, the eurozone and Asia ex-Japan were leaders within the benchmark, while Japan and the U.K. were laggards. The portfolio benefited from being modestly overweight the eurozone as well as solid performance from our underlying holdings. Despite being underweight Asia ex-Japan, the Fund delivered positive returns here as our individual stock picks, particularly in China and Macau, outperformed strongly. Although being underweight Japan should have helped our performance more we saw a few individual holdings sell off due to worsening fundamentals.

Top contributors to performance for the period included U.K. payments processor Paysafe Group, Macau-based casino operator Galaxy Entertainment, French digital advertising firm Criteo, U.K. medical products producer Convatec Group, and German health care and agricultural products company Bayer AG.

Paysafe late last year was targeted by a short-seller report, which made a number of erroneous allegations against the company. We took advantage of the volatility to add to our existing position. The outsized move in the stock price during the period was largely the share price retracing to prior levels. Long-term fundamentals remain solid and Paysafe continues to be a top holding.

Galaxy Entertainment has benefitted from a recovery in Macau’s gaming industry and investor optimism over new properties slated to open soon. Criteo logged good growth as a leader in the field of search advertising, with strong technology and product offerings. Convatec is making good progress in turning around their ostomy (wound care) business and the stock has closed some of its valuation discount relative to peers. Bayer shares have moved higher as the market is beginning to factor in a greater probability of the proposed

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

acquisition of Monsanto being completed. This union would create the world’s largest agricultural products company and provide significant long-term synergies.

Primary detractors to performance this quarter were Japanese internet services company Rakuten, Italian online luxury fashion retailer YOOX Net-A-Porter, Japanese smartphone messaging company LINE Corp., Korean cosmetics maker AmorePacific, and Ireland-domiciled global pharmaceutical firm Allergan plc.

Rakuten fell as it reported weaker-than-expected margins in its domestic e-commerce business. Although it is the market leader in Japan, increased promotional pressure from Yahoo and Amazon also weighed on the stock. YOOX declined as growth has slowed and the competitive landscape has intensified with LVMH’s (Louis Vuitton Moët Hennessy) planned development of its own e-commerce platform. LINE, although it has a large user base, has delivered monetization of that user base at a pace slower than investor expectations. AmorePacific declined as political tensions between China and Korea have negatively impacted Chinese tourism into Korea and subsequent spending on cosmetics. Allergan reported a disappointing quarter as we saw an erosion of growth in some of its legacy products.

We have since sold out of each of these detractors, with the exception of YOOX Net-A-Porter. We believe YOOX remains well positioned to maintain a leading position and benefit from the secular trend of luxury fashion moving online.

Outlook

Over the course of many business cycles, international equities have come in and out of favor relative to domestic equities. The U.S. economy is poised to continue its expansion, given the pro-growth agenda of the new administration, as well as positive readings in various economic gauges such as business confidence, wage growth, and corporate profits. However, the economic expansion in the U.S. appears to be mid to later cycle, with equity markets reaching fresh highs and valuation metrics above their long-term averages.

With global economic indicators picking up, this makes the case for international equities all the more compelling on a relative basis. Eurozone industrial activity continues to be robust and the unemployment rate fell to the lowest in eight years. Fears of a disruptive slowdown or “hard landing” in China have diminished considerably, with pockets of healthy growth evident, such as in technology and services. And in emerging markets, fundamentals continue to improve, with economic growth set to accelerate in 2017 as better performing countries, such as India, continue to build upon existing momentum and weaker countries pull out of recessions or see data points trend less negatively. Broadly, valuations for international equities remain attractive, with relative valuations below current U.S. levels and historical valuations below prior peaks.

Over the life of the Fund, we have managed through various market cycles and have consistently adhered to a repeatable process and philosophy that employs rigorous, bottom-up fundamental analysis and seeks to invest in great businesses with attractive growth prospects. As a result, we tend to favor quality growth stocks, smaller capitalization ranges, and long-term secular themes while remaining disciplined around valuation. This approach has resulted in a less correlated, high active share portfolio that we believe can deliver compelling risk-adjusted returns over the long term.

Thank you for investing alongside us in Thornburg International Growth Fund.

Sincerely,
Greg Dunn	Sean Koung Sun,CFA
Managing Director	Managing Director
Portfolio Manager	Portfolio Manager

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
Class A Shares (Incep: 2/1/07)
Without sales charge		8.77	%		1.08	%		7.00	%		6.14	%		6.61	%
With sales charge		3.89	%		-0.46	%		6.02	%		5.66	%		6.14	%
Class C Shares (Incep: 2/1/07)
Without sales charge		7.99	%		0.34	%		6.20	%		5.40	%		5.87	%
With sales charge		6.99	%		0.34	%		6.20	%		5.40	%		5.87	%
Class I Shares (Incep: 2/1/07)		9.24	%		1.52	%		7.45	%		6.68	%		7.16	%
Class R3 Shares (Incep: 2/1/08)		8.70	%		1.00	%		6.90	%		—			5.28	%
Class R4 Shares (Incep: 2/1/08)		8.77	%		1.09	%		7.02	%		—			5.39	%
Class R5 Shares (Incep: 2/1/08)		9.23	%		1.51	%		7.44	%		—			5.81	%
Class R6 Shares (Incep: 2/1/13)		9.35	%		1.61	%		—			—			6.43	%
MSCI AC World ex-U.S. Growth Index (Since 2/1/07)		9.63	%		1.55	%		4.84	%		1.97	%		2.19	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no sales charge for Class I, R3, R4, R5, and R6 shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.39%; C shares, 2.15%; I shares, 1.00%; R3 shares, 2.04%; R4 shares, 1.68%; R5 shares, 1.21%; R6 shares, 1.39%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: I shares, 0.99%; R3 shares, 1.50%; R4 shares, 1.40%; R5 shares, 0.99%; R6 shares, 0.89%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

Glossary

The MSCI All Country (AC) World ex-U.S. Growth Index is a market capitalization weighted index that includes growth companies in developed and emerging markets throughout the world, excluding the United States.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Active Share – A measure of the percentage of stock holdings in a manager’s portfolio that differ from the benchmark index.

PMI (Purchasing Managers’ Index) – An indicator of the economic health of the manufacturing sector and for the economy as a whole. The PMI index is based on five major indicators: new orders, inventory levels, production, supplier deliveries, and the employment environment. A PMI of 50 or higher generally indicates that the industry is expanding.

6    Semi-Annual Report

Fund Summary
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks long-term growth of capital by investing in equity securities selected for their growth potential.

The Fund normally invests at least 75% of its assets in foreign securities or depositary receipts of foreign securities. However, the Fund may own a variety of securities, including domestic equity securities, partnership interests, and debt obligations. The Fund may also invest in developing countries and in smaller companies with market capitalizations of less than $500 million.

MARKET CAPITALIZATION EXPOSURE

BASKET STRUCTURE

TOP TEN EQUITY HOLDINGS

Paysafe Group plc	4.8	%
Wirecard AG	4.7	%
Worldpay Group plc	3.2	%
Bayer AG	3.2	%
Fomento Economico Mexicano SAB de CV ADR	3.0	%
Edenred	2.8	%
MasterCard, Inc.	2.6	%
Fresenius Medical Care AG & Co.	2.4	%
Sands China Ltd.	2.4	%
Tencent Holdings Ltd.	2.3	%

There is no guarantee that the Fund will meet its investment objectives.

All portfolio information is subject to change. Charts may not add up to 100% due to rounding.

SECTOR EXPOSURE

Information Technology	34.1	%
Consumer Discretionary	20.8	%
Health Care	12.4	%
Consumer Staples	9.5	%
Financials	9.1	%
Industrials	6.4	%
Materials	1.9	%
Real Estate	0.9	%
Other Assets Less Liabilities	4.9	%

TOP TEN INDUSTRY GROUPS

Software & Services	32.2	%
Consumer Services	10.9	%
Retailing	8.7	%
Health Care Equipment & Services	7.4	%
Food, Beverage & Tobacco	7.0	%
Commercial & Professional Services	6.4	%
Diversified Financials	5.1	%
Pharmaceuticals, Biotechnology & Life Sciences	5.1	%
Banks	2.1	%
Insurance	1.9	%

COUNTRY EXPOSURE*

(percent of equity holdings)

United Kingdom	23.4	%
France	13.2	%
Germany	13.1	%
China	12.3	%
United States	5.1	%
Australia	4.7	%
Mexico	4.3	%
Denmark	3.3	%
Japan	3.2	%
India	3.2	%
Italy	2.1	%
Spain	2.0	%
Ireland	1.7	%
Brazil	1.7	%
Russia	1.6	%
Sweden	1.6	%
Switzerland	1.5	%
Netherlands	1.2	%
Costa Rica	0.9	%

* The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived.

Semi-Annual Report    7

Schedule of Investments
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 95.15%
BANKS — 2.10%
Banks — 1.11%
ING Groep N.V.		880,530	$	13,310,578
Thrifts & Mortgage Finance — 0.99%
Housing Development Finance Corp. Ltd.		516,469		11,929,253
				25,239,831
COMMERCIAL & PROFESSIONAL SERVICES — 6.36%
Commercial Services & Supplies — 2.76%
Edenred		1,403,318		33,159,865
Professional Services — 3.60%
Bureau Veritas SA		1,236,547		26,086,154
SGS S.A.		7,986		17,037,969
				76,283,988
CONSUMER SERVICES — 10.87%
Hotels, Restaurants & Leisure — 10.87%
Alsea S.A.B. de C.V.		4,008,077		13,390,763
Domino’s Pizza Enterprises Ltd.		376,549		16,720,155
Evolution Gaming Group AB		224,580		8,195,573
Galaxy Entertainment Group Ltd.		4,658,834		25,507,738
Merlin Entertainments plc		3,064,462		18,414,079
Paddy Power Betfair plc		181,700		19,578,073
Sands China Ltd.		6,155,800		28,515,576
				130,321,957
DIVERSIFIED FINANCIALS — 5.09%
Capital Markets — 5.09%
Hargreaves Lansdown plc		709,167		11,559,589
Japan Exchange Group, Inc.		1,160,213		16,517,898
Schroders plc		573,808		21,783,406
WisdomTree Investments, Inc.		1,226,236		11,134,223
				60,995,116
FOOD & STAPLES RETAILING — 0.81%
Food & Staples Retailing — 0.81%
PriceSmart, Inc.		105,586		9,735,029
				9,735,029
FOOD, BEVERAGE & TOBACCO — 7.01%
Beverages — 2.97%
Fomento Economico Mexicano SAB de CV ADR		401,653		35,554,324
Food Products — 2.03%
Danone SA		357,972		24,348,953
Tobacco — 2.01%
ITC Ltd.		5,582,152		24,134,737
				84,038,014
HEALTH CARE EQUIPMENT & SERVICES — 7.35%
Health Care Equipment & Supplies — 4.94%
Coloplast A/S		189,968		14,832,737
a ConvaTec Ltd.		6,483,906		22,665,092
Essilor International SA		179,000		21,750,021
Health Care Providers & Services — 2.41%
Fresenius Medical Care AG & Co.		343,373		28,956,825
				88,204,675
HOUSEHOLD & PERSONAL PRODUCTS — 1.67%
Personal Products — 1.67%
KOSE Corp.		221,700		20,053,166
				20,053,166
INSURANCE — 1.93%
Insurance — 1.93%
St. James’s Place plc		1,740,264		23,155,610
				23,155,610
MATERIALS — 1.90%
Chemicals — 1.90%
Novozymes AS		576,446		22,847,550
				22,847,550

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
MEDIA — 1.25%
Media — 1.25%
REA Group Ltd.		330,476	$	14,979,850
				14,979,850
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 5.08%
Biotechnology — 1.93%
Grifols S.A.		942,310		23,110,838
Pharmaceuticals — 3.15%
Bayer AG		328,200		37,830,866
				60,941,704
REAL ESTATE — 0.88%
Real Estate Management & Development — 0.88%
Foxtons Group plc		8,788,639		10,598,367
				10,598,367
RETAILING — 8.74%
Internet & Direct Marketing Retail — 6.81%
a Ctrip.com International, Ltd. ADR		436,460		21,452,009
a priceline.com, Inc.		8,364		14,887,669
a YOOX S.p.A		987,899		23,522,835
a Zalando SE		538,639		21,792,463
Multiline Retail — 1.93%
B&M European Value Retail S.A.		6,163,821		23,121,627
				104,776,603
SOFTWARE & SERVICES — 32.22%
Information Technology Services — 16.98%
Cielo S.A.		2,154,089		19,479,416
MasterCard, Inc.		282,534		31,776,599
a Paysafe Group plc		9,775,161		57,268,392
Wirecard AG		1,020,034		56,476,131
Worldpay Group plc		10,450,768		38,679,003
Internet Software & Services — 15.24%
a Alibaba Group Holding Ltd. ADR		153,514		16,553,415
Auto Trader Group plc		4,045,064		19,882,009
a Baidu, Inc. ADR		119,590		20,631,667
carsales.com Ltd.		2,572,600		21,934,597
a Criteo SA ADR		451,157		22,553,338
a Just Eat plc		2,829,360		20,064,171
NetEnt AB		1,306,122		10,494,862
a Rocket Internet SE		266,275		4,553,516
Tencent Holdings Ltd.		956,100		27,410,291
a Yandex NV		852,551		18,696,443
				386,453,850
TECHNOLOGY HARDWARE & EQUIPMENT — 1.89%
Electronic Equipment, Instruments & Components — 1.89%
Ingenico S.A.		239,868		22,636,130
				22,636,130
TOTAL COMMON STOCK (Cost $1,002,339,850)				1,141,261,440
SHORT TERM INVESTMENTS — 3.60%
b Thornburg Capital Management Fund		4,322,485		43,224,846
TOTAL SHORT TERM INVESTMENTS (Cost $43,224,846)				43,224,846
TOTAL INVESTMENTS — 98.75% (Cost $1,045,564,696)			$	1,184,486,286
OTHER ASSETS LESS LIABILITIES — 1.25%				14,997,875
NET ASSETS — 100.00%			$	1,199,484,161

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

Footnote Legend

a Non-income producing.

b Investment in Affiliates - Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/PRINCIPAL SEPTEMBER 30, 2016		GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/PRINCIPAL MARCH  31, 2017		MARKET VALUE MARCH  31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Thornburg Capital Management Fund		14,196,332		29,515,000		39,388,847		4,322,485	$	43,224,846	$	182,463	$	—
Total non-controlled affiliated issuers - 3.60% of net assets									$	43,224,846	$	182,463	$	—

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ADR American Depositary Receipt

See notes to financial statements.

10    Semi-Annual Report

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Semi-Annual Report    11

Statement of Assets and Liabilities
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $1,002,339,850)	$	1,141,261,440
Non-controlled affiliated issuer (cost $43,224,846)		43,224,846
Cash denominated in foreign currency (cost $114,264)		114,749
Receivable for investments sold		26,281,218
Receivable for fund shares sold		2,370,335
Unrealized appreciation on forward currency contracts (Note 7)		8,923
Dividends receivable		1,353,483
Dividend reclaim receivable		711,010
Prepaid expenses and other assets		116,636
Total Assets		1,215,442,640
LIABILITIES
Payable for investments purchased		3,024,611
Payable for fund shares redeemed		9,275,470
Unrealized depreciation on forward currency contracts (Note 7)		311,175
Payable to investment advisor and other affiliates (Note 4)		909,794
Deferred taxes payable (Note 2)		1,991,134
Accounts payable and accrued expenses		446,295
Total Liabilities		15,958,479
NET ASSETS	$	1,199,484,161
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(2,085,749	)
Net unrealized appreciation on investments		136,613,143
Accumulated net realized gain (loss)		25,604,063
Net capital paid in on shares of beneficial interest		1,039,352,704
	$	1,199,484,161

12    Semi-Annual Report

Statement of Assets and Liabilities, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($104,496,613 applicable to 5,190,670 shares of beneficial interest outstanding - Note 5)	$	20.13
Maximum sales charge, 4.50% of offering price		0.95
Maximum offering price per share	$	21.08
Class C Shares:
Net asset value and offering price per share* ($80,948,432 applicable to 4,247,955 shares of beneficial interest outstanding - Note 5)	$	19.06
Class I Shares:
Net asset value, offering and redemption price per share ($893,299,536 applicable to 43,217,632 shares of beneficial interest outstanding - Note 5)	$	20.67
Class R3 Shares:
Net asset value, offering and redemption price per share ($10,259,702 applicable to 513,703 shares of beneficial interest outstanding - Note 5)	$	19.97
Class R4 Shares:
Net asset value, offering and redemption price per share ($37,629,415 applicable to 1,879,509 shares of beneficial interest outstanding - Note 5)	$	20.02
Class R5 Shares:
Net asset value, offering and redemption price per share ($43,606,497 applicable to 2,104,701 shares of beneficial interest outstanding - Note 5)	$	20.72
Class R6 Shares:
Net asset value, offering and redemption price per share ($29,243,966 applicable to 1,407,948 shares of beneficial interest outstanding - Note 5)	$	20.77

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    13

Statement of Operations
Thornburg International Growth Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Dividend income
Non-affiliated issuers (net of foreign taxes withheld of $57,495)	$	5,207,622
Non-controlled affiliated issuer		182,463
Total Income		5,390,085
EXPENSES
Investment advisory fees (Note 4)		5,231,759
Administration fees (Note 4)
Class A Shares		83,536
Class C Shares		53,449
Class I Shares		227,658
Class R3 Shares		6,574
Class R4 Shares		23,401
Class R5 Shares		13,377
Distribution and service fees (Note 4)
Class A Shares		166,099
Class C Shares		425,866
Class R3 Shares		26,316
Class R4 Shares		46,779
Transfer agent fees
Class A Shares		114,835
Class C Shares		60,373
Class I Shares		423,978
Class R3 Shares		25,579
Class R4 Shares		78,732
Class R5 Shares		92,487
Class R6 Shares		1,274
Registration and filing fees
Class A Shares		12,019
Class C Shares		10,973
Class I Shares		20,909
Class R3 Shares		7,685
Class R4 Shares		7,685
Class R5 Shares		8,291
Class R6 Shares		9,688
Custodian fees (Note 2)		181,225
Professional fees		52,049
Accounting fees (Note 4)		22,510
Trustee fees		28,660
Other expenses		128,105
Total Expenses		7,591,871
Less:
Expenses reimbursed by investment advisor (Note 4)		(408,873	)
Investment advisory fees waived by investment advisor (Note 4)		(72,979	)
Net Expenses		7,110,019
Net Investment Loss	$	(1,719,934	)

14    Semi-Annual Report

Statement of Operations, Continued
Thornburg International Growth Fund	Six Months Ended March 31, 2017 (Unaudited)

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Non-affiliated issuer investments (net of realized capital gain taxes paid of $51,236)	$	33,116,243
Forward currency contracts (Note 7)		4,722,770
Foreign currency transactions		(847,764	)
		36,991,249
Net change in unrealized appreciation (depreciation) on:
Non-affiliated issuer investments (net of change in deferred taxes payable of $1,991,134)		12,031,852
Forward currency contracts (Note 7)		457,837
Foreign currency translations		72
		12,489,761
Net Realized and Unrealized Gain		49,481,010
Net Increase in Net Assets Resulting from Operations	$	47,761,076

See notes to financial statements.

Semi-Annual Report    15

Statement of Changes in Net Assets

Thornburg International Growth Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income (loss)	$	(1,719,934	)	$	4,511,895
Net realized gain (loss) from investments, capital gain taxes, forward currency contracts, and foreign currency transactions		36,991,249			24,307,955
Net unrealized appreciation (depreciation) on investments, deferred taxes payable, forward currency contracts, and foreign currency translations		12,489,761			86,211,614
Net Increase (Decrease) in Net Assets Resulting from Operations		47,761,076			115,031,464
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		—			(112,705	)
Class I Shares		—			(4,259,877	)
Class R3 Shares		—			(5,726	)
Class R4 Shares		—			(31,291	)
Class R5 Shares		—			(283,521	)
Class R6 Shares		—			(28,260	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(67,512,979	)		(65,549,535	)
Class C Shares		(20,402,201	)		(16,163,708	)
Class I Shares		(174,160,296	)		(128,357,590	)
Class R3 Shares		(3,223,198	)		(3,755,415	)
Class R4 Shares		(4,879,973	)		(146,856	)
Class R5 Shares		(24,217,493	)		(6,042,851	)
Class R6 Shares		21,107,628			1,241,489
Net Decrease in Net Assets		(225,527,436	)		(108,464,382	)
NET ASSETS
Beginning of Period		1,425,011,597			1,533,475,979
End of Period	$	1,199,484,161		$	1,425,011,597
Distribution in excess of net investment income	$	(2,085,749	)	$	(365,815	)

* Unaudited.

See notes to financial statements.

16    Semi-Annual Report

Notes to Financial Statements
Thornburg International Growth Fund	March 31, 2017

NOTE 1 – ORGANIZATION

Thornburg International Growth Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on February 1, 2007. The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential.

The Fund currently offers seven classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” “Class R5,” and “Class R6”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vi) Class R6 shares are sold at net asset value without a sales charge at the time of purchase, and (vii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a returns filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	1,045,564,696
Gross unrealized appreciation on a tax basis	$	166,852,617
Gross unrealized depreciation on a tax basis		(27,931,027	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	138,921,590

18    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

At March 31, 2017, the Fund had deferred tax basis late year specified ordinary losses occurring subsequent to December 31, 2015 through September 30, 2016 of $356,994. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $8,924,572, (of which $8,924,572 are short-term and $0 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (“the Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market

Semi-Annual Report    19

Notes to Financial Statements, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

20    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL			LEVEL 1		LEVEL 2			LEVEL 3
Assets
Investments in Securities*
Common Stock	$	1,141,261,440		$	1,141,261,440	$	—		$	—
Short Term Investments		43,224,846			43,224,846		—			—
Total Investments in Securities	$	1,184,486,286		$	1,184,486,286	$	—		$	—
Other Financial Instruments**
Forward Currency Contracts	$	8,923		$	—	$	8,923		$	—
Spot Currency	$	19,132		$	19,132	$	—		$	—
Liabilities
Other Financial Instruments**
Forward Currency Contracts	$	(311,175	)	$	—	$	(311,175	)	$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

** Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment.

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $ 500 million		0.875	%
Next $ 500 million		0.825
Next $ 500 million		0.775
Next $ 500 million		0.725
Over $ 2 billion		0.675

The Fund’s effective management fee for the period ended March 31, 2017 was 0.835% of the Fund’s average net assets (before applicable management fee waiver of $72,979).

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $22,510 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $3,011 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,453 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Advisor or securities dealers and other financial institutions at the Advisor’s request an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A, Class C, Class R3, and Class R4 shares of the Fund to obtain various shareholder and distribution

Semi-Annual Report    21

Notes to Financial Statements, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I, Class R5 and Class R6 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor voluntarily waived Fund level investment advisory fees of $72,979. The Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $16,572 for Class A shares, $200,691 for Class I shares, $33,885 for Class R3 shares, $60,467 for Class R4 shares, $86,297 for Class R5 shares, and $10,961 for Class R6 shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by Trustees and Officers of the Trust and the Advisor is approximately 2.71%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had transactions no transactions with affiliated funds.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		462,312		$	8,627,183			2,522,328		$	47,142,292
Shares issued to shareholders in reinvestment of dividends		—			—			5,384			103,750
Shares repurchased		(4,079,609	)		(76,140,162	)		(6,144,717	)		(112,795,577	)
Net increase (decrease)		(3,617,297	)	$	(67,512,979	)		(3,617,005	)	$	(65,549,535	)
Class C Shares
Shares sold		112,061		$	1,973,750			870,906		$	15,660,814
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares repurchased		(1,266,711	)		(22,375,951	)		(1,821,172	)		(31,824,522	)
Net increase (decrease)		(1,154,650	)	$	(20,402,201	)		(950,266	)	$	(16,163,708	)
Class I Shares
Shares sold		6,406,492		$	122,925,869			18,510,440		$	347,208,152
Shares issued to shareholders in reinvestment of dividends		—			—			213,288			3,990,511
Shares repurchased		(15,557,525	)		(297,086,165	)		(25,673,584	)		(479,556,253	)
Net increase (decrease)		(9,151,033	)	$	(174,160,296	)		(6,949,856	)	$	(128,357,590	)

22    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

	SIX MONTHS ENDED MARCH 31, 2017 (UNAUDITED)						YEAR ENDED SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class R3 Shares
Shares sold		58,999		$	1,103,621			301,326		$	5,450,951
Shares issued to shareholders in reinvestment of dividends		—			—			239			4,567
Shares repurchased		(231,486	)		(4,326,819	)		(512,912	)		(9,210,933	)
Net increase (decrease)		(172,487	)	$	(3,223,198	)		(211,347	)	$	(3,755,415	)
Class R4 Shares
Shares sold		262,434		$	4,888,626			603,840		$	10,997,045
Shares issued to shareholders in reinvestment of dividends		—			—			1,168			22,375
Shares repurchased		(528,664	)		(9,768,599	)		(610,484	)		(11,166,276	)
Net increase (decrease)		(266,230	)	$	(4,879,973	)		(5,476	)	$	(146,856	)
Class R5 Shares
Shares sold		306,629		$	5,879,936			1,019,836		$	19,060,679
Shares issued to shareholders in reinvestment of dividends		—			—			14,800			277,832
Shares repurchased		(1,560,181	)		(30,097,429	)		(1,328,309	)		(25,381,362	)
Net increase (decrease)		(1,253,552	)	$	(24,217,493	)		(293,673	)	$	(6,042,851	)
Class R6 Shares
Shares sold		1,213,482		$	23,065,285			136,593		$	2,564,302
Shares issued to shareholders in reinvestment of dividends		—			—			1,501			28,260
Shares repurchased		(101,593	)		(1,957,657	)		(71,190	)		(1,351,073	)
Net increase (decrease)		1,111,889		$	21,107,628			66,904		$	1,241,489

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $459,748,883 and $643,121,919, respectively.

NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of the FASB Accounting Standards Codification 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2017, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract’s counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss.

The Fund entered into forward currency contracts during the six months ended March 31, 2017 in the normal course of pursuing its investment objectives, with the objective of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign investment transactions.

Semi-Annual Report    23

Notes to Financial Statements, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations.

The quarterly average value of open sell currency contracts for the six months ended March 31, 2017 was $65,946,718. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.

The following table displays the outstanding forward currency contracts at March 31, 2017:

OUTSTANDING FORWARD CURRENCY CONTRACTS TO BUY OR SELL AT MARCH 31, 2017
CONTRACT DESCRIPTION	BUY/SELL		CONTRACT AMOUNT		CONTRACT VALUE DATE		VALUE USD		UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION
Japanese Yen		Buy		957,591,900		06/01/2017		8,619,571	$	8,923	$	—
Japanese Yen		Sell		4,915,014,800		06/01/2017		44,241,520		—		(311,175	)
Total									$	8,923	$	(311,175	)
Net unrealized appreciation (depreciation)											$	(302,252	)

The outstanding forward currency contracts in the foregoing table were entered into with State Street Bank and Trust Company (“SSB”), pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement with SSB, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.

Because the ISDA Master Agreement with SSB does not result in an offset of reported amounts of financial assets and liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.

The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2017 is disclosed in the following table:

FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS AT MARCH 31, 2017
ASSET DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Assets - Unrealized appreciation on forward currency contracts	$        8,923
LIABILITY DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Liabilities - Unrealized depreciation on forward currency contracts	$  (311,175)

Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with SSB, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at March 31, 2017 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at March 31, 2017 is $0, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $302,252. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.

24    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

The net realized gain (loss) from forward currency contracts and the net change in unrealized appreciation (depreciation) on outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2017 are disclosed in the following tables:

NET REALIZED GAIN (LOSS) ON DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$  4,722,770	$  4,722,770
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF DERIVATIVE FINANCIAL  INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$  457,837	$  457,837

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in small-and mid-cap companies and non-U.S. issuers (including developing country issuers), credit risk, and interest rate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    25

Financial Highlights

    Thornburg International Growth Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																						RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+			NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS			TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	19.22		(0.06	)		0.97			0.91			—			—			—		$	20.13		(0.62	)(h)		1.42	(h)		1.42	(h)		1.46	(h)		4.73			38.51	$	104,497
2016(c)	$	17.78		—	(d)		1.45			1.45			(0.01	)		—			(0.01	)	$	19.22		0.03			1.39			1.39			1.39			8.23			104.60	$	169,248
2015(c)	$	19.10		(0.01	)		(0.33	)		(0.34	)		—			(0.98	)		(0.98	)	$	17.78		(0.06	)		1.42			1.42			1.42			(2.01	)		92.01	$	220,897
2014(c)	$	20.54		0.02			(0.89	)		(0.87	)		—			(0.57	)		(0.57	)	$	19.10		0.07			1.33			1.33			1.33			(4.46	)		106.18	$	508,044
2013(c)	$	15.78		(0.01	)		4.77			4.76			—			—			—		$	20.54		(0.06	)		1.41			1.41			1.42			30.16			89.17	$	580,194
2012(c)	$	13.37		(0.06	)		2.47			2.41			—	(e)		—			—		$	15.78		(0.41	)		1.51			1.51			1.52			18.03			95.17	$	255,725
CLASS C SHARES
2017(b)	$	18.26		(0.12	)		0.92			0.80			—			—			—		$	19.06		(1.32	)(h)		2.18	(h)		2.18	(h)		2.19	(h)		4.38			38.51	$	80,948
2016	$	17.01		(0.13	)		1.38			1.25			—			—			—		$	18.26		(0.73	)		2.15			2.15			2.15			7.35			104.60	$	98,633
2015	$	18.45		(0.14	)		(0.32	)		(0.46	)		—			(0.98	)		(0.98	)	$	17.01		(0.77	)		2.20			2.20			2.20			(2.72	)		92.01	$	108,062
2014	$	20.01		(0.13	)		(0.86	)		(0.99	)		—			(0.57	)		(0.57	)	$	18.45		(0.65	)		2.09			2.09			2.09			(5.19	)		106.18	$	146,399
2013	$	15.49		(0.14	)		4.66			4.52			—			—			—		$	20.01		(0.81	)		2.15			2.15			2.17			29.18			89.17	$	116,453
2012	$	13.23		(0.17	)		2.43			2.26			—			—			—		$	15.49		(1.19	)		2.27			2.27			2.28			17.08			95.17	$	55,656
CLASS I SHARES
2017(b)	$	19.69		(0.01	)		0.99			0.98			—			—			—		$	20.67		(0.12	)(h)		0.99	(h)		0.99	(h)		1.05	(h)		4.98			38.51	$	893,300
2016	$	18.20		0.08			1.49			1.57			(0.08	)		—			(0.08	)	$	19.69		0.45			0.99			0.99			1.00			8.63			104.60	$	1,030,921
2015	$	19.51		0.09			(0.37	)		(0.28	)		(0.05	)		(0.98	)		(1.03	)	$	18.20		0.47			0.99			0.99			1.01			(1.58	)		92.01	$	1,079,791
2014	$	20.96		0.10			(0.91	)		(0.81	)		(0.07	)		(0.57	)		(0.64	)	$	19.51		0.47			0.98			0.98			0.98			(4.09	)		106.18	$	1,171,032
2013	$	16.04		0.07			4.85			4.92			—			—			—		$	20.96		0.38			0.99			0.99			1.04			30.67			89.17	$	737,536
2012	$	13.55		0.02			2.50			2.52			(0.03	)		—			(0.03	)	$	16.04		0.10			0.99			0.99			1.14			18.60			95.17	$	198,938
CLASS R3 SHARES
2017(b)	$	19.07		(0.06	)		0.96			0.90			—			—			—		$	19.97		(0.64	)(h)		1.50	(h)		1.50	(h)		2.16	(h)		4.72			38.51	$	10,260
2016	$	17.66		—	(d)		1.42			1.42			(0.01	)		—			(0.01	)	$	19.07		(0.02	)		1.50			1.50			2.04			8.03			104.60	$	13,086
2015	$	18.99		(0.02	)		(0.33	)		(0.35	)		—			(0.98	)		(0.98	)	$	17.66		(0.13	)		1.50			1.50			1.98			(2.03	)		92.01	$	15,851
2014	$	20.46		—	(d)		(0.90	)		(0.90	)		—			(0.57	)		(0.57	)	$	18.99		—	(f)		1.50			1.50			1.86			(4.63	)		106.18	$	22,739
2013	$	15.73		(0.03	)		4.76			4.73			—			—			—		$	20.46		(0.15	)		1.50			1.50			2.01			30.07			89.17	$	13,982
2012	$	13.34		(0.06	)		2.45			2.39			—	(e)		—			—		$	15.73		(0.40	)		1.50			1.50			2.49			17.94			95.17	$	5,709
CLASS R4 SHARES
2017(b)	$	19.11		(0.05	)		0.96			0.91			—			—			—		$	20.02		(0.53	)(h)		1.40	(h)		1.40	(h)		1.73	(h)		4.76			38.51	$	37,629
2016	$	17.68		0.01			1.43			1.44			(0.01	)		—			(0.01	)	$	19.11		0.04			1.40			1.40			1.68			8.17			104.60	$	40,999
2015	$	19.00		0.02			(0.36	)		(0.34	)		—			(0.98	)		(0.98	)	$	17.68		0.10			1.40			1.40			1.65			(1.97	)		92.01	$	38,038
2014	$	20.45		0.01			(0.89	)		(0.88	)		—			(0.57	)		(0.57	)	$	19.00		0.04			1.39			1.39			1.63			(4.53	)		106.18	$	38,575
2013	$	15.70		(0.01	)		4.76			4.75			—			—			—		$	20.45		(0.04	)		1.38			1.38			1.68			30.25			89.17	$	26,441
2012	$	13.31		(0.04	)		2.46			2.42			(0.03	)		—			(0.03	)	$	15.70		(0.29	)		1.40			1.40			2.23			18.17			95.17	$	9,326
CLASS R5 SHARES
2017(b)	$	19.73		(0.02	)		1.01			0.99			—			—			—		$	20.72		(0.19	)(h)		0.99	(h)		0.99	(h)		1.32	(h)		5.02			38.51	$	43,606
2016	$	18.25		0.09			1.47			1.56			(0.08	)		—			(0.08	)	$	19.73		0.45			0.99			0.99			1.21			8.56			104.60	$	66,271
2015	$	19.55		0.09			(0.36	)		(0.27	)		(0.05	)		(0.98	)		(1.03	)	$	18.25		0.46			0.99			0.99			1.20			(1.53	)		92.01	$	66,646
2014	$	21.01		0.10			(0.93	)		(0.83	)		(0.06	)		(0.57	)		(0.63	)	$	19.55		0.46			0.99			0.99			1.18			(4.15	)		106.18	$	69,217
2013	$	16.07		0.07			4.87			4.94			—			—			—		$	21.01		0.35			0.99			0.99			1.22			30.74			89.17	$	43,209
2012	$	13.58		0.02			2.50			2.52			(0.03	)		—			(0.03	)	$	16.07		0.13			0.99			0.99			1.29			18.56			95.17	$	19,251
CLASS R6 SHARES
2017(b)	$	19.77		0.01			0.99			1.00			—			—			—		$	20.77		0.11	(h)		0.89	(h)		0.89	(h)		1.00	(h)		5.06			38.51	$	29,244
2016	$	18.29		0.11			1.47			1.58			(0.10	)		—			(0.10	)	$	19.77		0.60			0.89			0.89			1.34			8.65			104.60	$	5,854
2015	$	19.59		0.13			(0.38	)		(0.25	)		(0.07	)		(0.98	)		(1.05	)	$	18.29		0.66			0.89			0.89			1.43			(1.43	)		92.01	$	4,191
2014	$	21.05		0.12			(0.93	)		(0.81	)		(0.08	)		(0.57	)		(0.65	)	$	19.59		0.58			0.89			0.89			1.34			(4.05	)		106.18	$	3,950
2013(g)	$	17.54		0.46			3.05			3.51			—			—			—		$	21.05		2.21	(h)		0.89	(h)		0.89	(h)		11.83	(h)(i)		20.01			89.17	$	2,553

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Net investment income (loss) was less than $0.01 per share.

(e) Dividends from net investment income per share were less than $(0.01).

(f) Net investment income (Loss) is less than 0.01%.

(g) Effective date of this class of shares was February 1, 2013.

(h) Annualized.

(i) Due to the size of net assets and fixed expenses, ratios may appear disproportionate.

+ Based on weighted average shares outstanding.

See notes to financial statements.

26     Semi-Annual Report Semi-Annual Report    27

Expense Example
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	1,047.35	$	7.27
Hypothetical*	$	1,000.00	$	1,017.83	$	7.16
CLASS C SHARES
Actual	$	1,000.00	$	1,043.81	$	11.08
Hypothetical*	$	1,000.00	$	1,014.09	$	10.92
CLASS I SHARES
Actual	$	1,000.00	$	1,049.77	$	5.06
Hypothetical*	$	1,000.00	$	1,020.00	$	4.98
CLASS R3 SHARES
Actual	$	1,000.00	$	1,047.19	$	7.66
Hypothetical*	$	1,000.00	$	1,017.45	$	7.55
CLASS R4 SHARES
Actual	$	1,000.00	$	1,047.62	$	7.14
Hypothetical*	$	1,000.00	$	1,017.95	$	7.04
CLASS R5 SHARES
Actual	$	1,000.00	$	1,050.18	$	5.06
Hypothetical*	$	1,000.00	$	1,020.00	$	4.98
CLASS R6 SHARES
Actual	$	1,000.00	$	1,050.58	$	4.55
Hypothetical*	$	1,000.00	$	1,020.50	$	4.48

† Expenses are equal to the annualized expense ratio for each class (A: 1.42%; C: 2.18%; I: 0.99%; R3: 1.50%; R4: 1.40%; R5: 0.99%; R6: 0.89%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8 .6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

28    Semi Annual Report

Other Information
Thornburg International Growth Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    29

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

30    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    31

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH1409

2    Semi-Annual Report

Semi-Annual Report

Thornburg Investment Income Builder Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
The Dividend Landscape	8
Performance Summary	10
Fund Summary	11
Schedule of Investments	13
Statement of Assets and Liabilities	22
Statement of Operations	24
Statements of Changes in Net Assets	26
Notes to Financial Statements	27
Financial Highlights	38
Expense Example	40
Other Information	41
Trustees’ Statement to Shareholders	42

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	TIBAX	885-215-558
Class C	TIBCX	885-215-541
Class I	TIBIX	885-215-467
Class R3	TIBRX	885-215-384
Class R4	TIBGX	885-215-186
Class R5	TIBMX	885-215-236

Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small- and mid-capitalization companies may increase the risk of greater price fluctuations. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity.

Semi-Annual Report    3

Letter to Shareholders
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

April 28, 2017

Dear Fellow Shareholder:

This letter will highlight the basic results of your Fund’s investment activities for the six-month period ended March 31, 2017. Your Fund’s fiscal year ends on September 30. In addition, we will comment on the overall investment landscape, which continues to evolve.

Thornburg Investment Income Builder Fund paid dividends of $0.385 per Class A share in the six months ended March 31, 2017, down from the $0.423 per share paid in the comparable prior-year period. The dividends per share were higher for Class I and Class R5 shares, and lower on the Class C, R3, and R4 shares, to account for varying class-specific expenses. The net asset value per Class A share increased by $0.70 per share during the six-month period, from $19.82 to $20.52, giving a total return including dividends of 5.52% without sales charge.

For the six-month period ended March 31, 2017, Thornburg Investment Income Builder Fund (total return of 5.52%) slightly trailed the 5.65% return of blended index of 75% MSCI World Index/25% Bloomberg Barclays U.S. Aggregate Bond Index. The Fund’s total return for the 12-month period ended March 31, 2017, 11.85%, exceeded the blended index return of 11.06%. Performance relative to indices for all share classes over various periods is set forth on page 10.

The quarter ended March 31, 2017 was the 57^th full calendar quarter since the inception of Thornburg Investment Income Builder in December 2002. In 42 of these quarters, including each of the last six quarters, the Fund delivered a positive total return. The Fund has delivered positive total returns in 12 of its 14 calendar years of existence. As of March 31, 2017, Thornburg Investment Income Builder has delivered tax-efficient average annual total returns in excess of 9.5% since its inception.

We do not expect to pay any capital gain dividend for 2017. At March 31, 2017 the Fund had realized capital losses of more than $600 million, which may be carried forward to offset future capital gains to the extent permitted by regulations.

In assessing the overall performance of Thornburg Investment Income Builder for the period under review, it is instructive to consider the performance in U.S. dollars of the sector components of the MSCI World Index over the six-months ended March 31, 2017. The MSCI World Index comprises 75%, and the entire equity portion, of the Fund’s global performance benchmark (75% MSCI World Index and 25% Bloomberg Barclays U.S. Aggregate Bond Index):

1. The MSCI World Index showed a return of 8.35% for the six-months ended March 31, 2017. Nine of eleven index sectors showed positive total returns, with individual sector returns ranging from 20% (financials) to negative 2% (real estate). Stocks of firms in the information technology, materials, consumer discretionary, and industrials sectors joined financial sector stocks in outperforming the index. Stocks in the energy, utilities, health care, consumer staples, and telecommunications sectors joined real estate stocks in underperforming the index.

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.

The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.39%, as disclosed in the most recent prospectus.

2. Income Builder Fund investments in firms in the financials (27% average equity weighting), telecommunications (20% average equity weighting), industrials (9% average equity weighting), energy (9% average equity weighting), health care (7% average equity weighting), consumer discretionary (7% average equity weighting), and consumer staples (7% average equity weighting) sectors comprised the largest sector weightings in the Fund’s equity portfolio during the period under review. The Fund’s performance relative to the MSCI World Index was hurt by comparative underperformance from our holdings in the telecommunications and information technology sectors, and was helped by our overweight in the financials sector.

3. In the Income Builder portfolio, 39 equity investments contributed positive returns of at least 0.05% (five basis points) to the portfolio during the six-month period, considering both portfolio weights and individual security returns. Eleven of the Fund’s equity investments contributed negative returns of 0.05% or worse for the period.

Investment Income Builder’s bond holdings delivered modestly positive returns during the semi-annual period, with accrued interest overcoming mixed returns from bond price changes.

Your Fund’s average return of 19% from its investments in the financial sector was largely in line with the performance of the equities in the financial sector of the MSCI World Index for the period. Fund investments in JPMorgan Chase, CME Group, DBS Group (Singapore), ING Groep, Ares Capital, UBS Group, MFA Financial, Two Harbors Investment, Blackstone Group, and Chimera Investment Corporation were among the strongest performers in the portfolio. There were no significant detractors from portfolio performance among our financial sector holdings in the semi-annual period.

Your Fund’s significant holdings in the telecommunications sector delivered disappointing returns, and were the largest detractors from relative performance vis-á-vis the MSCI World Index.

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

England’s BT Group, China Mobile, Vodafone, Netherlands’ Royal KPN, and Singapore Telecommunications each delivered negative returns. Competitive conditions are intensifying around the world as usage of telecommunications networks becomes ever more woven into everyday life. Communications network operators compete for market share with varying degrees of governmental oversight influencing the competitive landscapes. While each of these firms has its own business outlook, most of our telecommunications holdings delivered reasonable (if unexciting) commercial performance during the period under review. Investors generally sold telecommunications stocks to fund investments in more cyclical sectors during the December 2016 quarter. Each of these firms pays interesting dividends to shareholders.

Your Fund’s investments in the industrials sector delivered positive performance, with Italian toll road and airport operator Atlantia and Chinese conglomerates Hopewell Holdings, China Merchants Port Holdings, and NWS Holdings leading the way. There were no significant detractors from portfolio performance among our industrial sector holdings in the semi-annual period.

Among Income Builder’s investments in the energy sector, Royal Dutch Shell, Canadian producer Suncor, Italian producer ENI and pipeline operator ONEOK each made significant contributions to portfolio performance during the semi-annual period. Energy stocks were very strong performers in the December quarter, and relatively weak performers in the March quarter. The price of oil mostly fluctuated in a narrow range just above $50/ barrel, while natural gas prices traded around $3.20/MMbtu. Global demand for oil and gas continues to increase. The near-term direction for oil and gas prices, and for the energy investments in your Fund’s portfolio, will depend upon the outlook for suppliers to meet growing global demand for hydrocarbons at today’s prices. For now, the energy industry appears to be capable of obtaining sufficient capital to sustain production in line with growing global consumption at today’s prices.

The performance of Investment Income Builder’s holdings in the health care sector was modestly positive during the semi-annual period, thanks to price recoveries in the March quarter that offset price declines during the December quarter. Roche Holding was the strongest performer among these, followed by Merck & Co. Each of these is establishing leading positions in “immuno-therapies” that channel the body’s own defenses to fight disease, especially cancers. Political rhetoric turned strongly against for-profit health care firms two years ago, acting as a governor on pricing flexibility by these firms. From here, it appears that solid scientific advancement will be the most important contributor to share price performance. Your Fund’s portfolio holdings generate sufficient cash flow to fund both world-class research programs and interesting dividends, and we are monitoring their scientific progress.

Among Fund investments in the consumer staples sector, Walgreens Boots Alliance and CVS Health were positive contributors during the semi-annual period, while Netherlands-based grocer Royal Ahold Delhaize and Korea’s KT&G Corporation were negative contributors. Investors sold consumer staples stocks during the period under review in order to fund purchases of stocks in more cyclical sectors. KT&G Corporation faced company specific concerns in late 2016 regarding the future competitive landscape for smokeless tobacco products in Korea, though it has continued to deliver satisfactory commercial performance in Korea and abroad.

Your Fund’s investments in the consumer discretionary sector, though positive contributors, trailed the performance of this sector in the index portfolio for the semi-annual period. Home Depot and vehicle manufacturer Daimler AG were positive contributors to portfolio performance, while department store operator Target was a detractor.

Among other portfolio holdings, notable positive contributors to performance included chemicals manufacturer LyondellBasell Industries, Taiwan Semiconductor Manufacturing, Lamar Advertising, and French construction/telecom conglomerate Bouygues. Negative contributors included European utilities Electricite de France and National Grid, and U.S. semiconductor maker Qualcomm.

Most foreign currencies depreciated slightly vis-à-vis the U.S. dollar during the semi-annual period, declining sharply in November and December of 2016 before recovering much of the declines in the early months of 2017. We hedged a majority of the currency exposure to Chinese yuan, the euro and other European currencies tied to the euro. We are more focused on risk management than on reaping possible currency gains from exposure to assets denominated in these currencies. Currency hedges modestly contributed to our performance relative to the MSCI World Index during the period.

Within its bond portfolio, Investment Income Builder owned significantly fewer U.S. government and agency bonds than the Bloomberg Barclays U.S. Aggregate Bond Index. U.S. government bond yields increased between 0.4% and 0.8% in the Fund’s semi-annual period, depending upon maturity. Yield spreads of corporate credits over government bond yields tightened from September 30, 2016 to March 31, 2017, causing prices of these bonds to significantly outperform government bonds. The FINRA-Bloomberg Index of Active High Yield U.S. Corporate Bond Yields dropped by 0.2% to 6.11% during the period. The FINRA-Bloomberg Index of Active Investment Grade Corporate Bond Yields rose by 0.29%, to 3.76%. The Fund’s bond portfolio had an effective duration of approximately 4.0 years as of March 31, 2017.

Readers of this commentary who are long-time shareholders of Income Builder will recall that the cash and interest bearing debt portion of the Fund’s portfolio (see Chart I on the next page) has varied over time, ranging from around 12% currently to 45% at June 30, 2009.

Investors have been debating the future direction of the economies of China, Europe, various emerging markets, and the U.S. Macroeconomic vital signs to date have been stronger than

Semi-Annual Report    5

Letter to Shareholders,
Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

   Chart I | Interest-Bearing Investments as a Percentage of

                  Total Portfolio as of March 31, 2017

As of March 31st, the Fund portfolio included more than 100 bonds and hybrid securities.

earlier expected, particularly outside the United States. Investors try to evaluate potential policy actions by the U.S. Federal Reserve, Congress, the Trump administration, and the evolving governance of Europe and other key countries. For the most part, the political and macroeconomic issues remain open, but “globalization” as we have come to know it is being questioned in many corners of the world with uncertain consequences. Importantly, overall global consumer spending is growing, and most macro-economic indicators around the world have positively surprised in the early months of 2017. Corporate earnings reported for the March quarter are also generally surprising, positively.

The improvement in global economic growth expectations is supporting a rotation of investor preferences from more defensive debt and equity assets to more economically sensitive assets. The U.S. election in November initially added momentum to improving growth expectations, though it now appears that political gridlock will persist in Washington DC. The U.S. Federal Reserve has given signals that a faster pace of Federal funds target rate hikes is probable in 2017 and 2018, but most major central banks around the world continue to pursue very easy monetary conditions with the stated goal of creating more inflation. Offshore demand for U.S. dollar bonds remains strong. Yields available to investors in the U.S. bond market today are below the already low January 1, 2017 levels.

While low interest rates are good news for borrowers, they have negative consequences for conservative savers and income-seeking investors. Total reported taxable interest income of all U.S. households fell from $168 billion in 2009 to less than $94 billion in 2014, a five-year drop of $74 billion (negative 44%), according to Statistics of Income published by the Internal Revenue Service.

Investors must consider other options. Banks have aggressively reduced yields on deposits, and money market fund yields remain around ½ of 1%. A very large pool of investor dollars is looking for better returns elsewhere, but in sensible investments. We are optimistic that the types of income-producing investments owned by Thornburg Investment Income Builder Fund will experience sustainable popularity among investors as their intrinsic values for income production are recognized. A high percentage of investor funds belong to people over the age of 55, for whom income is an increasingly necessary and desirable attribute.

Thank you for being a shareholder of Thornburg Investment Income Builder Fund. Remember that you can review descriptions of many of the stocks in your portfolio at your leisure by going to our website, www.thornburg.com/iib. Best wishes for a wonderful summer!

Sincerely,

Brian McMahon	Jason Brady,CFA	Ben Kirby,CFA
Portfolio Manager	Portfolio Manager	Portfolio Manager
Chief Investment Officer and Managing Director	CEO, President, and Managing Director	Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

6    Semi-Annual Report

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Semi-Annual Report    7

The Dividend Landscape
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

To appreciate the investment environment in which Thornburg Investment Income Builder Fund operates, you may wish to review these highlights of the “dividend landscape.”

The S&P 500 Index Payout Ratio — A Historical Perspective

The dividend payout ratio is a fraction that expresses dividend payments as a percentage of per-share earnings. As the economy slowed in the wake of the financial crisis, earnings-per-share on average declined, causing the payout ratio to spike, even as dividends paid by the S&P 500 portfolio declined. Earnings have since materially improved, bringing the payout ratio back in line with the overall trend in recent times.

Corporate Willingness to Pay Dividends is Key to the Fund’s Investment Process

The Russell 1000 Index includes approximately 1,000 public companies that are supposed to be generally representative of corporate America. Between 1980 and 1993, at least 75% of these firms paid some dividend. Between 1994 and 2001, the percentage of Russell 1000 companies paying dividends sank to just over 50%, indicating a preference towards reinvesting retained earnings in growth initiatives. Dividends returned to fashion between 2002 and 2008. A reduction in the number of Russell 1000 firms paying dividends followed the 2008 recession. However, from early 2010, the number steadily climbed back to around 70%.

Rising Dividend Payments Despite Decreasing Dividend Yields

Over time, the dollar dividend per unit of the S&P 500 Index has generally increased. Because the price of the index itself has increased even more, the yield on the S&P 500 Index, as a percentage of the current index price, has generally decreased in recent decades. You should note, however, that the dollar yield on an original investment made at a fixed point in time (say, 1970 or 1989) has increased, even without reinvestment of dividends.

S&P 500 Index Payout Ratio

Source: Bloomberg, beginning in 1999 (uses operating earnings); “Irrational Exuberance” by Robert J. Shiller, through 1998 (uses reported earnings).

Percentage of Companies Paying Dividends in Russell 1000 Index

Source: CSFB Quantitative and Equity Derivatives Strategy, Baseline, and FactSet.

S&P 500 Index Average Yield vs. Annual Dividends from a Hypothetical $100,000 Investment (Dividends not Reinvested)

Source: Bloomberg and FactSet as of 12/31/16

Past performance does not guarantee future results.

8    Semi-Annual Report

The Dividend Landscape, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

The Top 100 Dividend Yields

	RUSSELL 1000 INDEX			RUSSELL 2000 INDEX
Real Estate		39	%		32	%
Consumer Discretionary		17	%		15	%
Financials		11	%		29	%
Energy		11	%		10	%
Utilities		8	%		3	%
Industrials		4	%		3	%
Materials		4	%		0	%
Telecommunication Services		4	%		3	%
Information Technology		1	%		1	%
Consumer Staples		1	%		2	%
Health Care		0	%		2	%

Source: FactSet as of March 31, 2017.

Estimated Average Dividend Yields (MSCI Indices) of Markets Around the Globe

Source: Bloomberg as of March 31, 2017.

A Truly Diversified Dividend-Paying Portfolio Must Look Beyond the Obvious High-Yield Stocks!

In the (large cap) Russell 1000 Index, 50% of the top 100 dividend payers are in the real estate and financials sectors. In the (small cap) Russell 2000 Index, 61% of the top 100 dividend-yielding stocks are real estate or financials companies. To construct a diversified portfolio of attractive yielding stocks, one must look beyond these sectors. We certainly do.

Dividend yield is a ratio that shows how much a company pays out in dividends each year relative to its share price.

Global Diversification Can Improve the Portfolio Yield

Since firms outside the U.S. tend to pay higher dividends than U.S. firms, particularly outside the financial and utility sectors, we maintain the ability to diversify the Thornburg Investment Income Builder Fund into foreign dividend-paying stocks to try to take advantage of these opportunities.

Diversification does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

Dividends are not guaranteed.

Semi-Annual Report    9

Performance Summary
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
Class A Share (Incep: 12/24/02)
Without sales charge		11.85	%		2.89	%		6.74	%		5.40	%		9.51	%
With sales charge		6.81	%		1.33	%		5.76	%		4.91	%		9.16	%
Class C Shares (Incep: 12/24/02)
Without sales charge		11.03	%		2.15	%		5.98	%		4.69	%		8.84	%
With sales charge		10.03	%		2.15	%		5.98	%		4.69	%		8.84	%
Class I Shares (Incep: 11/3/03)		12.20	%		3.21	%		7.07	%		5.74	%		8.75	%
Class R3 Shares (Incep: 2/1/05)		11.51	%		2.57	%		6.41	%		5.11	%		7.11	%
Class R4 Shares (Incep: 2/1/08)		11.56	%		2.66	%		6.53	%		—			4.93	%
Class R5 Shares (Incep: 2/1/07)		12.07	%		3.08	%		6.94	%		5.64	%		5.78	%
Blended Index (Since 12/24/02)		11.06	%		4.92	%		7.70	%		4.50	%		7.44	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no sales charge for Class I, R3, R4, and R5 shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.39%; C shares, 2.14%; I shares, 1.07%; R3 shares, 1.80%; R4 shares, 1.69%; R5 shares, 1.28%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: C shares, 2.11%; R3 shares, 1.71%; R4 shares, 1.61%; R5 shares, 1.20%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

30-day SEC Yield as of 3/31/17 (A Shares): 2.89%

Glossary

The Bloomberg Barclays U.S. Aggregate Bond Index is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index.

The Blended index is composed of 25% Bloomberg Barclays U.S. Aggregate Bond Index and 75% MSCI World Index.

The FlNRA-Bloomberg Active High Yield U.S. Corporate Bond Index is comprised of the “active” (most frequently traded) fixed-coupon, high-yield bonds represented by FINRA TRACE, FINRA’s transaction reporting facility that disseminates all over-the-counter secondary market transactions in these public bonds.

The FlNRA-Bloomberg Active Investment Grade U.S. Corporate Bond Index is comprised of the “active” (most frequently traded) fixed-coupon, investment-grade bonds represented by FINRA TRACE, FINRA’s transaction reporting facility that disseminates all over-the-counter secondary market transactions in these public bonds.

The MSCI country indices are free float-adjusted market capitalization indices that are designed to measure equity market performance in that specific country in U.S. dollars.

The MSCI World Index is an unmanaged market-weighted index that consists of securities traded in 23 of the world’s most developed countries. Securities are listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand, and the Far East. The index is calculated with net dividends reinvested in U.S. dollars.

The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. Source: Frank Russell Company.

The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000 Index including approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. Source: Frank Russell Company.

The S&P 500 Index is an unmanaged broad measure of the U.S. stock market.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Yield Spread – The difference between yields on differing debt instruments, calculated by deducting the yield of one instrument from another.

10    Semi-Annual Report

Fund Summary
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks to provide a level of current income which exceeds the average yield on U.S. stocks generally, and which will generally grow, subject to periodic fluctuations, over the years on a per share basis. The Fund’s secondary investment objective is long-term capital appreciation.

The Fund may invest in any domestic or foreign equity or debt security which Thornburg Investment Management believes may assist the Fund in pursuing its investment goals, although the Fund expects that equity securities in its portfolio will normally be weighted in favor of companies that pay dividends or other current income.

PORTFOLIO COMPOSITION

TOP TEN EQUITY HOLDINGS

China Mobile Ltd.	4.3	%
Atlantia S.p.A.	3.1	%
JPMorgan Chase & Co.	2.9	%
CME Group, Inc.	2.8	%
Royal Dutch Shell plc ADR	2.7	%
Orange SA	2.7	%
Roche Holding AG	2.6	%
Taiwan Semiconductor Manufacturing Co., Ltd.	2.1	%
BT Group plc	2.0	%
Novartis AG	2.0	%

SECTOR EXPOSURE

(percent of equity holdings)

Financials	26.3	%
Telecommunication Services	20.7	%
Industrials	9.3	%
Consumer Staples	8.7	%
Energy	8.3	%
Health Care	7.9	%
Consumer Discretionary	7.1	%
Information Technology	4.2	%
Real Estate	3.2	%
Utilities	2.6	%
Materials	1.7	%
Other	0.1	%

COUNTRY EXPOSURE*

(percent of Fund)

United States	38.6	%
Switzerland	11.0	%
Netherlands	8.7	%
France	8.0	%
Italy	5.2	%
United Kingdom	5.0	%
China	4.5	%
Taiwan	2.6	%
Germany	2.3	%
Singapore	2.1	%
Norway	1.5	%
Canada	1.3	%
South Korea	1.2	%
Hong Kong	1.2	%
Spain	1.1	%
Australia	0.6	%
South Africa	0.6	%
Russia	0.6	%
Thailand	0.4	%
Jamaica	0.4	%
Brazil	0.4	%
Cayman Islands	0.3	%
Luxembourg	0.3	%
Ireland	0.1	%
Chile	0.1	%
Japan	0.1	%
Trinidad and Tobago**	0.0	%
Panama**	0.0	%
Other Assets Less Liabilities	2.0	%

* The country assignment of each holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived.

** Country percentage was less than 0.1%.

There is no guarantee that the Fund will meet its investment objectives.

All portfolio information is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    11

Fund Summary, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

QUARTERLY DIVIDEND HISTORY, CLASS A

YEAR	Q1			Q2			Q3			Q4			TOTAL
2003		9.2	¢		11.2	¢		12.4	¢		17.5	¢		50.3	¢
2004		10.2	¢		12.5	¢		15.0	¢		21.8	¢		59.5	¢
2005		11.0	¢		13.6	¢		17.4	¢		29.0	¢		71.0	¢
2006		12.5	¢		16.0	¢		19.2	¢		33.0	¢		80.7	¢
2007		14.2	¢		18.5	¢		21.5	¢		36.8	¢		91.0	¢
2008		17.9	¢		21.8	¢		26.0	¢		36.8	¢		102.4	¢
2009		18.0	¢		24.2	¢		28.0	¢		34.5	¢		104.7	¢
2010		19.8	¢		25.0	¢		32.0	¢		36.0	¢		112.8	¢
2011		21.0	¢		26.0	¢		32.0	¢		37.5	¢		116.5	¢
2012		21.5	¢		26.0	¢		28.5	¢		36.0	¢		112.0	¢
2013		21.5	¢		25.3	¢		25.0	¢		24.5	¢		96.3	¢
2014		22.5	¢		24.0	¢		27.0	¢		26.0	¢		99.5	¢
2015		16.5	¢		20.0	¢		20.0	¢		25.3	¢		81.8	¢
2016		17.0	¢		18.5	¢		19.5	¢		21.5	¢		76.5	¢
2017		17.0	¢

We do not expect each sequential quarter’s dividend to increase over that of the prior quarter, since dividend payments outside the United States tend to be seasonal. Rather, the Fund aspires to increase the dividend paid on an annual basis.

EVOLUTION OF INDUSTRY GROUP EXPOSURE

Top 10 industry groups quarter by quarter (percent of equity holdings)

As of 3/31/17

Telecommunication Services	20.7	%
Diversified Financials	13.7	%
Energy	8.3	%
Pharma, Biotech & Life Sciences	7.9	%
Banks	7.5	%
Insurance	5.0	%
Food & Staples Retailing	4.7	%
Capital Goods	4.5	%
Transportation	4.2	%
Semiconductors & Equipment	4.2	%

As of 9/30/16

Telecommunication Services	22.7	%
Diversified Financials	15.9	%
Energy	8.6	%
Banks	7.8	%
Pharma, Biotech & Life Sciences	7.4	%
Transportation	4.5	%
Capital Goods	4.5	%
Retailing	4.4	%
Semiconductors & Equipment	4.1	%
Real Estate	3.1	%

As of 12/31/16

Telecommunication Services	21.0	%
Diversified Financials	16.9	%
Energy	9.1	%
Banks	8.1	%
Pharma, Biotech & Life Sciences	7.1	%
Transportation	4.4	%
Capital Goods	4.2	%
Food & Staples Retailing	4.1	%
Semiconductors & Equipment	4.0	%
Retailing	3.9	%

As of 6/30/16

Telecommunication Services	23.0	%
Diversified Financials	9.5	%
Pharma, Biotech & Life Sciences	9.0	%
Real Estate	8.7	%
Banks	8.2	%
Energy	6.9	%
Retailing	4.8	%
Transportation	4.3	%
Semiconductors & Equipment	3.9	%
Utilities	3.8	%

12    Semi-Annual Report

Schedule of Investments
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 87.70%
AUTOMOBILES & COMPONENTS — 1.32%
Automobiles — 1.32%
Daimler AG		2,846,100	$	210,106,349
				210,106,349
BANKS — 6.51%
Banks — 6.51%
DBS Group Holdings Ltd.		16,421,200		227,737,985
ING Groep N.V.		17,617,500		266,315,876
Intesa Sanpaolo S.p.A.		12,079,000		32,807,437
JPMorgan Chase & Co.		5,323,200		467,589,888
Liechtensteinische Landesbank AG		852,411		42,209,939
				1,036,661,125
CAPITAL GOODS — 3.96%
Aerospace & Defense — 0.68%
BAE Systems plc		13,559,800		109,154,837
Construction & Engineering — 2.12%
Bouygues SA		1,793,900		73,018,451
Ferrovial SA		3,178,900		63,619,848
Vinci S.A.		2,537,795		201,153,817
Industrial Conglomerates — 1.16%
Hopewell Holdings Ltd.		32,379,840		122,078,017
NWS Holdings Ltd.		34,000,000		62,036,930
				631,061,900
COMMERCIAL & PROFESSIONAL SERVICES — 0.49%
Professional Services — 0.49%
Wolters Kluwer N.V.		1,880,374		78,163,113
				78,163,113
CONSUMER SERVICES — 1.60%
Hotels, Restaurants & Leisure — 1.60%
Las Vegas Sands Corp.		3,885,000		221,716,950
TUI AG		2,333,000		32,267,862
				253,984,812
DIVERSIFIED FINANCIALS — 12.05%
Capital Markets — 7.93%
a Apollo Investment Corp.		24,800,000		162,688,000
Ares Capital Corp.		15,285,900		265,668,942
CME Group, Inc.		3,800,000		451,440,000
GAM Holding AG		3,688,882		45,482,646
a Solar Capital Ltd.		4,607,900		104,184,619
UBS Group AG		14,605,325		233,737,693
Mortgage Real Estate Investment Trusts — 4.12%
Chimera Investment Corp.		5,265,000		106,247,700
a Invesco Mortgage Capital, Inc.		7,670,600		118,280,652
a MFA Financial, Inc.		33,520,151		270,842,820
Two Harbors Investment Corp.		16,698,600		160,139,574
				1,918,712,646
ENERGY — 7.20%
Oil, Gas & Consumable Fuels — 7.20%
Eni S.p.A.		10,288,800		168,482,979
b,c Malamute Energy, Inc.		12,439		130,609
ONEOK, Inc.		3,489,700		193,468,968
Royal Dutch Shell plc A Shares		1,189,380		31,234,063
Royal Dutch Shell plc ADR		7,450,000		392,838,500
Suncor Energy, Inc.		3,900,000		119,740,572

Semi-Annual Report    13

Schedule of Investments, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
The Williams Companies, Inc.		2,657,000	$	78,620,630
Total SA		3,193,100		161,514,383
				1,146,030,704
FOOD & STAPLES RETAILING — 4.13%
Food & Staples Retailing — 4.13%
CVS Health Corp.		2,710,000		212,735,000
Koninklijke Ahold Delhaize N.V.		5,474,247		117,148,908
Walgreens Boots Alliance, Inc.		3,595,906		298,639,993
Woolworths Ltd.		1,444,900		29,253,435
				657,777,336
FOOD, BEVERAGE & TOBACCO — 3.12%
Food Products — 1.92%
Nestle SA		3,972,300		304,768,387
Tobacco — 1.20%
KT&G Corp.		2,195,817		191,444,297
				496,212,684
HOUSEHOLD & PERSONAL PRODUCTS — 0.41%
Household Products — 0.41%
Reckitt Benckiser plc		719,900		65,717,027
				65,717,027
INSURANCE — 4.42%
Insurance — 4.42%
AXA S.A.		3,128,400		80,948,067
Gjensidige Forsikring ASA		1,810,476		27,580,334
Legal and General Group plc		23,968,500		74,264,548
Munich Re		300,000		58,695,325
NN Group NV		7,533,300		244,993,403
Swiss Re AG		600,000		53,881,096
Zurich Financial Services AG		610,000		162,845,305
				703,208,078
MATERIALS — 1.49%
Chemicals — 0.99%
LyondellBasell Industries NV		1,727,000		157,485,130
Metals & Mining — 0.50%
Mining and Metallurgical Co. Norilsk Nickel PJSC ADR		4,119,000		64,627,110
Mining and Metallurgical Co. Norilsk Nickel PJSC ADR		990,000		15,562,800
				237,675,040
MEDIA — 0.51%
Media — 0.51%
Vivendi S.A.		4,143,968		80,568,793
				80,568,793
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 6.99%
Pharmaceuticals — 6.99%
Merck & Co., Inc.		4,687,687		297,855,632
Novartis AG		4,278,400		317,575,041
Pfizer, Inc.		2,292,200		78,416,162
Roche Holding AG		1,640,300		418,897,559
				1,112,744,394
REAL ESTATE — 2.83%
Equity Real Estate Investment Trusts — 2.83%
Crown Castle International Corp.		2,020,000		190,789,000
Lamar Advertising Co.		1,658,220		123,935,363
a Washington REIT		4,325,000		135,286,000
				450,010,363

14     Semi-Annual Report

Schedule of Investments, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
RETAILING — 2.84%
Multiline Retail — 0.90%
Target Corp.		2,603,734	$	143,700,079
Specialty Retail — 1.94%
The Home Depot, Inc.		2,104,800		309,047,784
				452,747,863
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.69%
Semiconductors & Semiconductor Equipment — 3.69%
Advanced Semiconductor Engineering, Inc.		62,862,954		80,281,436
Qualcomm, Inc.		2,929,200		167,960,328
Taiwan Semiconductor Manufacturing Co., Ltd.		54,341,000		338,483,942
				586,725,706
TELECOMMUNICATION SERVICES — 18.13%
Diversified Telecommunication Services — 12.03%
AT&T, Inc.		5,503,100		228,653,805
BT Group plc		80,279,884		320,054,164
CenturyLink, Inc.		6,370,000		150,140,900
Jasmine Broadband Internet Infrastructure Fund		183,724,000		62,021,052
Koninklijke KPN N.V.		86,168,500		259,502,973
Orange SA		27,211,900		422,816,846
Singapore Telecommunications Ltd.		37,641,215		105,212,961
Swisscom AG		344,600		158,977,348
Telenor ASA		12,500,200		208,040,644
Wireless Telecommunication Services — 6.10%
China Mobile Ltd.		62,038,574		678,939,808
MTN Group Ltd.		10,663,810		96,970,824
Vodafone Group plc		75,109,324		195,831,479
				2,887,162,804
TRANSPORTATION — 3.74%
Transportation Infrastructure — 3.74%
Atlantia S.p.A.		19,236,102		496,609,890
China Merchants Holdings International Co. Ltd.		10,464,830		30,634,354
Sydney Airport		13,247,554		68,520,034
				595,764,278
UTILITIES — 2.27%
Electric Utilities — 1.93%
Electricite de France SA		25,287,083		212,896,606
Enel S.p.A.		8,700,200		40,967,974
Terna Rete Elettrica Nazionale S.p.A.		10,874,721		53,945,349
Multi-Utilities — 0.34%
c Innogy SE		757,713		28,602,689
National Grid plc		2,012,000		25,548,670
				361,961,288
TOTAL COMMON STOCK (Cost $12,546,634,890)				13,962,996,303
PREFERRED STOCK — 0.42%
BANKS — 0.14%
Banks — 0.14%
d First Tennessee Bank Pfd, 3.75%		12,000		8,520,000
GMAC Capital Trust I Pfd, 8.125%		517,056		13,148,734
				21,668,734
DIVERSIFIED FINANCIALS — 0.02%
Capital Markets — 0.02%
Morgan Stanley Pfd, 4.00%		120,000		2,833,200
				2,833,200

Semi-Annual Report    15

Schedule of Investments, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
ENERGY — 0.08%
Oil, Gas & Consumable Fuels — 0.08%
b,c Crestwood Equity Partners LP		1,387,421	$	13,549,831
				13,549,831
MISCELLANEOUS — 0.07%
U.S. Government Agencies — 0.07%
Farm Credit Bank of Texas Pfd, 10.00%		9,000		11,047,500
				11,047,500
TELECOMMUNICATION SERVICES — 0.11%
Wireless Telecommunication Services — 0.11%
d Centaur Funding Corp. Pfd, 9.08%		15,000		17,475,000
				17,475,000
TOTAL PREFERRED STOCK (Cost $65,860,932)				66,574,265
ASSET BACKED SECURITIES — 0.19%
COMMERCIAL MTG TRUST — 0.02%
Citigroup Commercial Mortgage Trust, Series 2004-HYB2 Class B1, 3.336%, 3/25/2034	$	636,324		520,895
d Credit Suisse Mortgage Trust, Series 2016-BDWN Class E, 12.412%, 2/15/2029		2,000,000		2,009,991
				2,530,886
OTHER ASSET BACKED — 0.07%
d Fairway Outdoor Funding, LLC, Series 2012-1 Class B, 8.835%, 10/15/2042		7,000,000		7,129,002
d JPR Royalty, LLC, 10.50%, 9/1/2020		5,000,000		2,500,000
b,d Northwind Holdings, LLC, Series 2007-1A Class A1 Floating Rate Note, 1.622%, 12/1/2037		2,143,750		1,995,831
				11,624,833
RESIDENTIAL MTG TRUST — 0.10%
Bear Stearns ARM Mortgage, Series 2003-6 Class 2B-1, 2.905%, 8/25/2033		141,839		108,811
FBR Securitization Trust, Series 2005-2 Class M1, 1.702%, 9/25/2035		8,771,267		8,771,148
Merrill Lynch Mortgage Investors Trust, Series 2004-A4 Class M1, 2.855%, 8/25/2034		4,669,156		4,271,046
Morgan Stanley Capital, Inc., Series 2005-HE7 Class A2C, 1.302%, 11/25/2035		2,517,964		2,519,757
				15,670,762
TOTAL ASSET BACKED SECURITIES (Cost $30,841,627)				29,826,481
CORPORATE BONDS — 8.48%
AUTOMOBILES & COMPONENTS — 0.03%
Auto Components — 0.03%
d,e Nexteer Automotive Group Ltd., 5.875%, 11/15/2021		4,300,000		4,461,250
				4,461,250
BANKS — 0.08%
Banks — 0.08%
d,e Groupe BPCE, 12.50%, 8/29/2049		10,211,000		12,329,782
				12,329,782
CAPITAL GOODS — 0.21%
Aerospace & Defense — 0.06%
d CBC Ammo, LLC, 7.25%, 11/15/2021		9,265,000		9,218,675
Construction & Engineering — 0.10%
d Zachry Holdings, Inc., 7.50%, 2/1/2020		15,420,000		15,882,600
Machinery — 0.05%
Mueller Industries, Inc., 6.00%, 3/1/2027		7,679,000		7,621,407
				32,722,682
COMMERCIAL & PROFESSIONAL SERVICES — 0.01%
Commercial Services & Supplies — 0.01%
RR Donnelley, 7.625%, 6/15/2020		1,697,000		1,820,033
				1,820,033

16    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
CONSUMER SERVICES — 0.28%
Diversified Consumer Services — 0.28%
b,d Laureate Education, Inc., 9.25%, 9/1/2019	$	43,176,000	$	44,039,520
				44,039,520
DIVERSIFIED FINANCIALS — 0.52%
Capital Markets — 0.01%
d Morgan Stanley (BRL), 10.09%, 5/3/2017		4,560,000		1,453,677
Consumer Finance — 0.07%
First Cash Financial Services, Inc., 6.75%, 4/1/2021		10,395,000		10,836,787
Diversified Financial Services — 0.44%
Bank of America Corp. (BRL), 10.75%, 8/20/2018		5,000,000		1,639,686
d,e CFG Holdings Ltd./CFG Finance, LLC, 11.50%, 11/15/2019		30,634,000		31,093,510
d,e Genpact Luxembourg S.a.r.l., 3.70%, 4/1/2022		12,000,000		12,069,552
JPMorgan Chase & Co., 7.90%, 12/29/2049		15,000,000		15,543,750
National Rural Utilities Cooperative Finance Corp., 10.375%, 11/1/2018		5,000,000		5,662,305
d TMX Finance, LLC/Titlemax Finance, 8.50%, 9/15/2018		5,385,000		4,954,200
				83,253,467
ENERGY — 2.36%
Energy Equipment & Services — 0.06%
d Enviva Partners, LP, 8.50%, 11/1/2021		7,500,000		7,950,000
c,d,e,f Schahin II Finance Co. (SPV) Ltd., 5.875%, 9/25/2023		11,640,133		1,338,616
Oil, Gas & Consumable Fuels — 2.30%
d Citgo Petroleum Corp., 6.25%, 8/15/2022		27,000,000		27,337,500
d DCP Midstream, LLC, 9.75%, 3/15/2019		5,000,000		5,612,500
Enbridge Energy Partners LP, 9.875%, 3/1/2019		9,750,000		11,090,245
Energy Transfer Partners LP, 4.052%, 11/1/2066		13,820,000		11,677,900
Enterprise Products Operating LP, 7.034%, 1/15/2068		14,480,000		14,999,832
d,e Gaz Capital SA, 8.146%, 4/11/2018		2,000,000		2,116,192
HollyFrontier Corp., 5.875%, 4/1/2026		25,000,000		26,542,950
Kinder Morgan Energy Partners LP, 9.00%, 2/1/2019		8,000,000		8,948,920
Kinder Morgan Energy Partners LP, 5.00%, 3/1/2043		10,000,000		9,491,980
Kinder Morgan Energy Partners LP, 5.80%, 3/15/2035		10,000,000		10,472,080
Kinder Morgan, Inc., 5.30%, 12/1/2034		23,630,000		23,714,430
Kinder Morgan, Inc., 5.55%, 6/1/2045		5,000,000		5,108,740
b,c,d,f Linc Energy, 12.50%, 10/31/2017		22,791,000		228
b,c,d,f Linc Energy, 9.625%, 10/31/2017		16,148,704		670,171
NuStar Logistics LP, 8.15%, 4/15/2018		18,000,000		18,990,000
d,e Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/1/2023		19,146,870		7,084,342
ONEOK Partners LP, 8.625%, 3/1/2019		8,000,000		8,910,960
d,e Petro Co., Trinidad Tobago Ltd., 9.75%, 8/14/2019		4,000,000		4,224,000
c,f RAAM Global Energy Co., 12.50%, 10/1/2015		15,000,000		225,000
Summit Midstream Holdings, LLC, 5.50%, 8/15/2022		8,172,000		8,172,000
Teppco Partners LP, 7.00%, 6/1/2067		7,000,000		6,475,000
The Williams Companies, Inc., 3.70%, 1/15/2023		29,129,000		28,619,242
The Williams Companies, Inc., 4.55%, 6/24/2024		69,318,000		69,837,885
The Williams Companies, Inc., 5.75%, 6/24/2044		14,198,000		14,268,990
Transcontinental Gas Pipe Line Co., LLC, 7.85%, 2/1/2026		32,700,000		41,988,206
				375,867,909
FOOD & STAPLES RETAILING — 0.05%
Food & Staples Retailing — 0.05%
d C&S Group Enterprises, LLC, 5.375%, 7/15/2022		7,860,000		7,761,750
				7,761,750
FOOD, BEVERAGE & TOBACCO — 0.18%
Beverages — 0.04%
Ambev International Finance Co., Ltd. (BRL), 9.50%, 7/24/2017		21,669,000		6,804,008
Food Products — 0.04%
d,e BRF S.A., 4.75%, 5/22/2024		6,000,000		5,784,000

Semi-Annual Report    17

Schedule of Investments, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
Tobacco — 0.10%
d Vector Group Ltd., 6.125%, 2/1/2025	$	16,000,000	$	16,340,000
				28,928,008
HOUSEHOLD & PERSONAL PRODUCTS — 0.05%
Household Products — 0.05%
d Energizer Holdings, Inc., 5.50%, 6/15/2025		7,500,000		7,650,000
				7,650,000
INSURANCE — 0.97%
Insurance — 0.97%
d,e Dai Ichi Mutual Life Insurance Co., Ltd., 7.25%, 12/29/2049		9,000,000		10,300,500
ELM B.V. (AUD), 7.635%, 12/29/2049		10,500,000		8,050,042
ELM B.V. (AUD), 3.185%, 4/29/2049		8,000,000		6,094,640
Genworth Holdings, Inc., 4.90%, 8/15/2023		24,020,000		19,996,650
Hartford Financial Services Group, 8.125%, 6/15/2068		9,650,000		10,277,250
d MetLife, Inc., 9.25%, 4/8/2038		12,000,000		16,575,000
MetLife, Inc., 6.817%, 8/15/2018		4,000,000		4,264,384
d National Life Insurance of Vermont, 10.50%, 9/15/2039		2,000,000		3,058,708
d,e QBE Insurance Group Ltd., 7.50%, 11/24/2043		40,000,000		45,400,000
d,e Sirius International Group, 7.506%, 5/29/2049		28,590,000		29,161,800
d ZFS Finance USA Trust V, 6.50%, 5/9/2067		1,260,000		1,258,425
				154,437,399
MATERIALS — 0.44%
Chemicals — 0.16%
d,e Consolidated Energy Finance S.A., 6.75%, 10/15/2019		11,000,000		11,082,500
d,e Kissner Group Holdings, 8.375%, 12/1/2022		14,520,000		14,955,600
Construction Materials — 0.18%
d,e Cimpor Financial Operations B.V., 5.75%, 7/17/2024		17,985,000		15,871,762
CRH America, Inc., 8.125%, 7/15/2018		12,000,000		12,942,168
Metals & Mining — 0.10%
d International Wire Group, Inc., 10.75%, 8/1/2021		15,780,000		15,346,050
				70,198,080
MEDIA — 0.39%
Media — 0.39%
Comcast Cable Communications, LLC, 8.875%, 5/1/2017		5,000,000		5,027,245
d EMI Music Publishing Ltd., 7.625%, 6/15/2024		5,000,000		5,450,000
d,e Mood Media Corp., 9.25%, 10/15/2020		18,445,000		12,634,825
d,e SFR Group SA, 7.375%, 5/1/2026		23,480,000		24,184,400
Time Warner Cable, Inc., 8.75%, 2/14/2019		14,000,000		15,649,396
				62,945,866
REAL ESTATE — 0.14%
Real Estate Management & Development — 0.14%
d,e Avison Young (Canada), Inc., 9.50%, 12/15/2021		22,000,000		21,670,000
				21,670,000
SOFTWARE & SERVICES — 0.39%
Information Technology Services — 0.13%
d Alliance Data Systems Corp., 5.375%, 8/1/2022		10,000,000		10,075,000
Neustar, Inc., 4.50%, 1/15/2023		11,185,000		11,478,606
Internet Software & Services — 0.05%
b,d Yahoo!, Inc., 6.65%, 8/10/2026		6,694,596		7,303,805
Software — 0.21%
d Solera Capital, LLC, 10.50%, 3/1/2024		29,200,000		33,361,000
				62,218,411

18    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
TECHNOLOGY HARDWARE & EQUIPMENT — 0.04%
Electronic Equipment, Instruments & Components — 0.04%
d Harland Clarke Holdings, 8.375%, 8/15/2022	$	6,500,000	$	6,662,500
				6,662,500
TELECOMMUNICATION SERVICES — 1.63%
Diversified Telecommunication Services — 1.00%
e Deutsche Telekom International Finance BV, 8.75%, 6/15/2030		26,150,000		38,117,547
Qwest Corp., 6.75%, 12/1/2021		9,000,000		9,866,232
e Telefonica Emisiones SAU, 6.221%, 7/3/2017		2,770,000		2,800,470
e Telefonica Emisiones SAU, 7.045%, 6/20/2036		85,390,000		105,596,946
c,d,e,f Telemar Norte Leste SA, 0%, 10/23/2020		9,065,000		2,753,494
Wireless Telecommunication Services — 0.63%
d,e Digicel Ltd., 6.00%, 4/15/2021		67,037,000		60,919,874
d,e Millicom International Cellular S.A., 6.00%, 3/15/2025		28,423,000		29,133,575
d,e VimpelCom Holdings B.V., 7.504%, 3/1/2022		8,735,000		9,892,387
				259,080,525
TRANSPORTATION — 0.12%
Airlines — 0.12%
American Airlines Group, Inc., 4.95%, 7/15/2024		4,053,265		4,311,174
d,e Guanay Finance Ltd., 6.00%, 12/15/2020		11,983,742		12,298,315
US Airways, 6.25%, 10/22/2024		1,934,777		2,108,907
				18,718,396
UTILITIES — 0.59%
Electric Utilities — 0.35%
Arizona Public Service Co., 8.75%, 3/1/2019		6,500,000		7,324,167
d,e Enel Finance International S.A., 6.25%, 9/15/2017		40,000,000		40,801,520
Entergy Gulf States Louisiana, LLC, 6.00%, 5/1/2018		8,000,000		8,359,872
d Great River Energy, 5.829%, 7/1/2017		249,461		250,791
Multi-Utilities — 0.24%
Ameren Illinois Co., 9.75%, 11/15/2018		5,000,000		5,617,510
d Enable Oklahoma Intrastate Transmission, LLC, 6.25%, 3/15/2020		2,500,000		2,672,580
NiSource Finance Corp., 6.40%, 3/15/2018		20,000,000		20,860,000
Sempra Energy, 9.80%, 2/15/2019		7,750,000		8,839,596
				94,726,036
TOTAL CORPORATE BONDS (Cost $1,257,842,364)				1,349,491,614
MUNICIPAL BONDS — 0.02%
San Bernardino County California Redevelopment Agency (San Sevaine), 8.45%, 9/1/2030		2,555,000		2,916,354
TOTAL MUNICIPAL BONDS (Cost $2,508,464)				2,916,354
OTHER GOVERNMENT — 0.04%
Federative Republic of Brazil (BRL), 12.50%, 1/5/2022		20,000,000		7,027,407
TOTAL OTHER GOVERNMENT (Cost $12,765,645)				7,027,407
LOAN PARTICIPATIONS — 1.15%
COMMERCIAL & PROFESSIONAL SERVICES — 0.05%
Professional Services — 0.05%
RGIS Services, LLC, 7.50%, 3/24/2023		7,387,750		7,350,811
CONSUMER SERVICES — 0.18%
Hotels, Restaurants & Leisure — 0.04%
Cheddar’s Scratch Kitchen, 10.75%, 12/20/2022		6,000,000		6,030,000
Diversified Consumer Services — 0.14%
Laureate Education, Inc., 8.51%, 3/17/2021		23,055,200		23,228,114
ENERGY — 0.00%
Oil, Gas & Consumable Fuels — 0.00%
b Malamute Energy, Inc., 1.15%, 11/22/2022		210,241		210,241

Semi-Annual Report    19

Schedule of Investments, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
FOOD, BEVERAGE & TOBACCO — 0.04%
Tobacco — 0.04%
b North Atlantic Holding Co., Inc., 7.15%, 5/9/2022	$	7,000,000	$	6,930,000
INDUSTRIALS — 0.10%
Construction & Engineering — 0.10%
ABG Intermediate Holdings (2), LLC, 9.65%, 5/27/2022		15,710,047		15,827,872
MEDIA — 0.05%
Media — 0.05%
e Mood Media Corp., 7.15%, 5/1/2019		8,340,758		8,254,765
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.14%
Pharmaceuticals — 0.14%
b,e Concordia Healthcare Corp., 9.50%, 10/21/2017		33,610,960		21,847,124
RETAILING — 0.19%
Specialty Retail — 0.19%
Redbox Automated Retail, LLC, 8.50%, 9/27/2021		30,625,000		30,586,719
SOFTWARE & SERVICES — 0.17%
Information Technology Services — 0.17%
Neustar, Inc., 4.03%, 1/22/2019		26,726,700		26,593,067
TECHNOLOGY HARDWARE & EQUIPMENT — 0.12%
Technology, Hardware, Storage & Peripherals — 0.12%
Harland Clarke Holdings Corp., 7.15%, 12/31/2021		18,304,516		18,450,952
TRANSPORTATION — 0.11%
Airlines — 0.11%
b,c,d,e,f OS Two, LLC, 12.00%, 12/15/2020		4,617,946		3,551,200
b,d WU Finance I, LLC, 7.20%, 08/17/2025		14,325,217		14,038,713
TOTAL LOAN PARTICIPATIONS (Cost $192,730,729)				182,899,578
SHORT TERM INVESTMENTS — 1.24%
a Thornburg Capital Management Fund		19,720,259		197,202,593
TOTAL SHORT TERM INVESTMENTS (Cost $197,202,593)				197,202,593
TOTAL INVESTMENTS — 99.24% (Cost $14,306,387,244)			$	15,798,934,595
OTHER ASSETS LESS LIABILITIES — 0.76%				121,638,150
NET ASSETS — 100.00%			$	15,920,572,745

Footnote Legend

a Investment in Affiliates – Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/PRINCIPAL SEPTEMBER  30, 2016		GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/PRINCIPAL MARCH 31, 2017		MARKET VALUE MARCH 31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Apollo Investment Corp.		24,800,000		—		—		24,800,000	$	162,688,000	$	5,208,000	$	—
Dynex Capital, Inc.*		3,562,668		—		3,562,668						1,178,460		(8,519,533	)
Invesco Mortgage Capital, Inc.		13,839,800		—		6,169,200		7,670,600		118,280,652		8,498,533		(9,947,559	)
MFA Financial, Inc.		33,520,151		—		—		33,520,151		270,842,820		13,408,060		—
Solar Capital Ltd.		4,607,900		—		—		4,607,900		104,184,619		3,686,320		—
Thornburg Capital Management Fund		23,399,287		146,491,870		150,170,898		19,720,259		197,202,593		695,909		—
Two Harbors Investment Corp*		23,875,000		—		7,176,400						9,577,092		(14,023,907	)
Washington REIT		5,300,000		—		975,000		4,325,000		135,286,000		2,021,250		2,895,079
Total non-controlled affiliated issuers - 6.21% of net assets									$	988,484,684	$	44,273,624	$	(29,595,920	)

* Issuers not affiliated at March 31, 2017.

20    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

b Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee.

c Non-income producing.

d Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2017, the aggregate value of these securities in the Fund’s portfolio was $729,666,213, representing 4.58% of the Fund’s net assets.

e Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations.

f Bond in default.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ADR	American Depositary Receipt
ARM	Adjustable Rate Mortgage
AUD	Denominated in Australian Dollars
BRL	Denominated in Brazilian Real
CHL	Denominated in Chilean Peso
MFA	Mortgage Finance Authority
MTN	Medium-Term Note
Pfd	Preferred Stock
REIT	Real Estate Investment Trust
SPV	Special Purpose Vehicle

See notes to financial statements.

Semi-Annual Report    21

Statement of Assets and Liabilities
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $13,216,356,478)	$	14,810,449,911
Non-controlled affiliated issuers (cost $1,090,030,766)		988,484,684
Cash		2,522,076
Receivable for investments sold		92,771,664
Receivable for fund shares sold		33,772,835
Unrealized appreciation on forward currency contracts (Note 7)		3,461,272
Dividends receivable		56,105,335
Dividend and interest reclaim receivable		32,554,084
Interest receivable		26,234,137
Prepaid expenses and other assets		139,853
Total Assets		16,046,495,851
LIABILITIES
Payable for investments purchased		26,963,518
Payable for fund shares redeemed		29,598,379
Unrealized depreciation on forward currency contracts (Note 7)		38,388,248
Payable to investment advisor and other affiliates (Note 4)		15,342,239
Deferred taxes payable (Note 2)		1,283,194
Accounts payable and accrued expenses		7,319,625
Dividends payable		7,027,903
Total Liabilities		125,923,106
NET ASSETS	$	15,920,572,745
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(13,842,534	)
Net unrealized appreciation on investments		1,455,857,828
Accumulated net realized gain (loss)		(788,628,217	)
Net capital paid in on shares of beneficial interest		15,267,185,668
	$	15,920,572,745

22    Semi-Annual Report

Statement of Assets and Liabilities, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($3,465,919,414 applicable to 168,945,662 shares of beneficial interest outstanding - Note 5)	$	20.52
Maximum sales charge, 4.50% of offering price		0.97
Maximum offering price per share	$	21.49
Class C Shares:
Net asset value and offering price per share* ($4,936,947,992 applicable to 240,832,279 shares of beneficial interest outstanding - Note 5)	$	20.50
Class I Shares:
Net asset value, offering and redemption price per share ($7,313,736,848 applicable to 353,961,229 shares of beneficial interest outstanding - Note 5)	$	20.66
Class R3 Shares:
Net asset value, offering and redemption price per share ($75,252,883 applicable to 3,669,525 shares of beneficial interest outstanding - Note 5)	$	20.51
Class R4 Shares:
Net asset value, offering and redemption price per share ($44,906,795 applicable to 2,186,160 shares of beneficial interest outstanding - Note 5)	$	20.54
Class R5 Shares:
Net asset value, offering and redemption price per share ($83,808,813 applicable to 4,058,569 shares of beneficial interest outstanding - Note 5)	$	20.65

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    23

Statement of Operations
Thornburg Investment Income Builder Fund	Six Months Ended March 31, 2017

INVESTMENT INCOME
Dividend income
Non-affiliated issuers (net of foreign taxes withheld of $20,815,383)	$	254,538,387
Non-controlled affiliated issuers		44,273,624
Interest income (net of premium amortized of $548,492)		60,648,308
Total Income		359,460,319
EXPENSES
Investment advisory fees (Note 4)		54,724,896
Administration fees (Note 4)
Class A Shares		2,247,440
Class C Shares		3,170,344
Class I Shares		1,743,045
Class R3 Shares		47,218
Class R4 Shares		28,128
Class R5 Shares		21,060
Distribution and service fees (Note 4)
Class A Shares		4,482,447
Class C Shares		25,287,645
Class R3 Shares		188,294
Class R4 Shares		55,593
Transfer agent fees
Class A Shares		1,401,720
Class C Shares		1,945,860
Class I Shares		2,842,260
Class R3 Shares		83,627
Class R4 Shares		75,249
Class R5 Shares		108,461
Registration and filing fees
Class A Shares		27,909
Class C Shares		14,572
Class I Shares		49,618
Class R3 Shares		1,820
Class R4 Shares		8,033
Class R5 Shares		10,090
Custodian fees (Note 2)		1,619,950
Professional fees		255,650
Accounting fees (Note 4)		251,540
Trustee fees		353,925
Other expenses		1,083,832
Total Expenses		102,130,226
Less:
Expenses reimbursed by investment advisor (Note 4)		(997,378	)
Net Expenses		101,132,848
Net Investment Income	$	258,327,471

24    Semi-Annual Report

Statement of Operations, Continued
Thornburg Investment Income Builder Fund	Six Months Ended March 31, 2017

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments
Non-affiliated issuers (net of realized capital gain taxes paid of $153,169)	$	43,814,953
Non-controlled affiliated issuers		(29,595,920	)
Forward currency contracts (Note 7)		255,719,049
Foreign currency transactions		906,071
		270,844,153
Net change in unrealized appreciation (depreciation) on:
Investments
Non-affiliated issuers (net of change in deferred taxes payable of $230,792)		369,470,886
Non-controlled affiliated issuers		(154,417	)
Forward currency contracts (Note 7)		(58,848,044	)
Foreign currency translations		(370,271	)
		310,098,154
Net Realized and Unrealized Gain		580,942,307
Net Increase in Net Assets Resulting from Operations	$	839,269,778

See notes to financial statements.

Semi-Annual Report    25

Statements of Changes in Net Assets

Thornburg Investment Income Builder Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	258,327,471		$	797,779,249
Net realized gain (loss) on investments, capital gain taxes, forward currency contracts, and foreign currency transactions		270,844,153			(918,976,358	)
Net unrealized appreciation (depreciation) on investments, deferred taxes payable, forward currency contracts, and foreign currency translations		310,098,154			1,416,784,014
Net Increase (Decrease) in Net Assets Resulting from Operations		839,269,778			1,295,586,905
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(69,856,606	)		(165,152,557	)
Class C Shares		(81,135,655	)		(194,621,516	)
Class I Shares		(146,064,409	)		(318,850,073	)
Class R3 Shares		(1,352,879	)		(3,068,837	)
Class R4 Shares		(829,982	)		(1,745,250	)
Class R5 Shares		(1,716,715	)		(3,692,411	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(433,875,116	)		(621,247,635	)
Class C Shares		(587,571,601	)		(754,505,642	)
Class I Shares		142,866,343			(797,345,150	)
Class R3 Shares		(5,476,028	)		(4,651,940	)
Class R4 Shares		(2,590,455	)		1,865,239
Class R5 Shares		(5,583,798	)		4,254,268
Net Decrease in Net Assets		(353,917,123	)		(1,563,174,599	)
NET ASSETS
Beginning of Period		16,274,489,868			17,837,664,467
End of Period	$	15,920,572,745		$	16,274,489,868
Undistributed (distribution in excess of) net investment income	$	(13,842,534	)	$	28,786,241

* Unaudited.

See notes to financial statements.

26    Semi-Annual Report

Notes to Financial Statements
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg Investment Income Builder Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment goal is to provide a level of current income which exceeds the average yield on U.S. stocks generally, and which will generally grow, subject to periodic fluctuations, over the years on a per share basis. The Fund’s secondary investment goal is long-term capital appreciation.

The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service fee, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (vii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest Income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repur-

Semi-Annual Report    27

Notes to Financial Statements, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

chase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Unfunded Loan Commitments: The Fund has entered into a loan commitment with Malamute Energy, Inc., of which at March 31, 2017, $210,241 of the $621,950 par commitment had been funded. The maturity date is November 22, 2022.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	14,329,652,920
Gross unrealized appreciation on a tax basis	$	413,011,656
Gross unrealized depreciation on a tax basis		(322,634,827	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	90,376,829

28    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

At March 31, 2017, the Fund had deferred tax basis late year specified ordinary losses occurring subsequent to October 31, 2015 through September 30, 2016 of $68,712,311. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $662,713,179. For tax purposes, such capital losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $226,181,345, (of which $219,602,120 are short-term and $6,579,225 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor ( the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s

Semi-Annual Report    29

Notes to Financial Statements, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

30    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3(b)
Assets
Investments in Securities*
Common Stock(a)	$	13,962,996,303	$	13,900,844,642	$	62,021,052	$	130,609
Preferred Stock(a)		66,574,265		15,981,934		37,042,500		13,549,831
Asset Backed Securities		29,826,481		—		27,830,650		1,995,831
Corporate Bonds		1,349,491,614		—		1,297,477,890		52,013,724
Municipal Bonds		2,916,354		—		2,916,354		—
Other Government		7,027,407		—		7,027,407		—
Loan Participations		182,899,578		—		136,322,300		46,577,278
Short Term Investments		197,202,593		197,202,593		—		—
Total Investments in Securities	$	15,798,934,595	$	14,114,029,169	$	1,570,638,153	$	114,267,273
Other Financial Instruments**
Forward Currency Contracts	$	3,461,272	$	—	$	3,461,272	$	—
Liabilities
Other Financial Instruments**
Forward Currency Contracts	$	38,388,248	$	—	$	38,388,248	$	—
Spot Currency	$	103,535	$	103,535	$	—	$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

** Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment.

(a) At March 31, 2017, industry classifications for Common Stock and Preferred Stock in Level 2 and Level 3 consist of $8,520,000 in Banks, $13,680,440 in Energy, $11,047,500 in Miscellaneous, and $79,496,052 in Telecommunication Services.

(b) In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, unadjusted broker quotes were applied to $65,886,644 portfolio securities characterized as Level 3 investments at March 31, 2017. The following table displays a summary of the valuation techniques and unobservable inputs used to value portfolio securities characterized as Level 3 investments, where no unadjusted broker quotes were available at March 31, 2017:

	FAIR VALUE AT MARCH 31, 2017		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT	RANGE (WEIGHTED AVERAGE)
Common Stock	$	130,609	Discount to valuation	Fair valued by the Committee due to halt in trading and lack of information and liquidity	$10.50 (N/A)
Preferred Stock		13,549,831	Cost basis	Cost basis	$9.77 (N/A)
Asset-Backed Securities		1,995,831	Discounted cash flows	Third party vendor projection of discounted cash flows	4.40% - 5.40% (1.62%)
Corporate Bond		670,399	Discount to valuation	Fair valued by the Committee due to halt in trading and lack of information and liquidity	$0.001-$4.15 (11.07%)
		7,303,805	Discounted cash flows	Discounted rate of cash flows	4.30%-5.30% (6.65%)
Loan Participations		6,930,000	Cost basis	Cost basis	$99.00 (N/A)
		17,589,913	Discounted cash flows	Third party vendor projection of discounted cash flows	9.00%-27.50% (10.25%)
		210,241	Discount to valuation	Fair valued by the Committee due to halt in trading and lack of information and liquidity	$100.00 (N/A)
Total	$	48,380,629

In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2017 is as follows:

Semi-Annual Report    31

Notes to Financial Statements, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	PREFERRED STOCK		COMMON STOCK		ASSET BACKED SECURITIES			CORPORATE BONDS			LOAN PARTICIPATIONS			TOTAL(e)
Beginning Balance 9/30/2016	$	—	$	—	$	2,237,813		$	7,605,592		$	18,137,761		$	27,981,166
Accrued Discounts (Premiums)		—		—		7,096			616,998			70,465			694,559
Net Realized Gain (Loss)(a)		—		—		33,980			24,053			(972,700	)		(914,667	)
Gross Purchases		13,549,831		130,609		—			3,001,320			10,802,589			27,484,349
Gross Sales		—		—		(262,500	)		(3,472,588	)		(3,918,848	)		(7,653,936	)
Net Change in Unrealized Appreciation (Depreciation)(b)(c)		—		—		(20,558	)		2,251,521			(11,447,045	)		(9,216,082	)
Transfers into Level 3(d)		—		—		—			41,986,828			33,905,056			75,891,884
Transfers out of Level 3(d)		—		—		—			—			—			—
Ending Balance 3/31/2017	$	13,549,831	$	130,609	$	1,995,831		$	52,013,724		$	46,577,278		$	114,267,273

(a) Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2017.

(b) Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2017.

(c) The net change in unrealized appreciation (depreciation) attributable to securities owned at March 31, 2017, which were valued using significant unobservable inputs, was $(10,105,331). This is included within net change in unrealized appreciation (depreciation) on investments in the Fund’s the Statement of Operations for the six months ended March 31, 2017.

(d) Transfers into or out of Level 3 were out of or into Level 2, and were due to changes in other significant observable inputs available during the six months ended March 31, 2017. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred.

(e) Level 3 investments represent 0.72% of total net assets at the six months ended March 31, 2017. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments.

NOTE 4 —  INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $ 500 million		0.875	%
Next $ 500 million		0.825
Next $ 500 million		0.775
Next $ 500 million		0.725
Over $ 2 billion		0.670

The Fund’s effective management fee for the period ended March 31, 2017 was 0.691% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $251,540 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $157,693 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $58,738 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A, Class C, Class R3, and Class R4 shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I and R5 shares. The Advisor and Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

32    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $916,120 for Class C shares, $31,849 for Class R3 shares, $31,935 for Class R4 shares, and $17,474 for Class R5 shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by the Trustees and Officers of the Trust and the Advisor is approximately 0.96%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had transactions with affiliated funds of $3,125,667 in purchases.

NOTE 5 –  SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		7,044,248		$	140,642,710			19,832,477		$	379,977,526
Shares issued to shareholders in reinvestment of dividends		3,207,291			64,705,855			8,070,888			153,998,830
Shares repurchased		(31,924,028	)		(639,223,681	)		(60,535,763	)		(1,155,223,991	)
Net increase (decrease)		(21,672,489	)	$	(433,875,116	)		(32,632,398	)	$	(621,247,635	)
Class C Shares
Shares sold		5,237,225		$	104,685,460			18,917,018		$	362,084,120
Shares issued to shareholders in reinvestment of dividends		3,523,003			70,988,434			8,898,237			169,695,424
Shares repurchased		(38,283,240	)		(763,245,495	)		(67,268,251	)		(1,286,288,186	)
Net increase (decrease)		(29,523,012	)	$	(587,571,601	)		(39,452,996	)	$	(754,508,642	)
Class I Shares
Shares sold		46,590,454		$	939,469,546			72,402,003		$	1,398,940,681
Shares issued to shareholders in reinvestment of dividends		6,258,988			127,197,802			14,573,749			280,115,894
Shares repurchased		(45,907,810	)		(923,801,005	)		(128,987,422	)		(2,476,401,725	)
Net increase (decrease)		6,941,632		$	142,866,343			(42,011,670	)	$	(797,345,150	)

Semi-Annual Report    33

Notes to Financial Statements, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class R3 Shares
Shares sold		327,264		$	6,541,464			861,058		$	16,544,230
Shares issued to shareholders in reinvestment of dividends		59,100			1,191,747			142,700			2,722,374
Shares repurchased		(662,149	)		(13,209,239	)		(1,245,253	)		(23,918,544	)
Net increase (decrease)		(275,785	)	$	(5,476,028	)		(241,495	)	$	(4,651,940	)
Class R4 Shares
Shares sold		256,959		$	5,159,842			727,487		$	14,065,623
Shares issued to shareholders in reinvestment of dividends		26,774			540,678			61,508			1,175,805
Shares repurchased		(413,080	)		(8,290,975	)		(692,777	)		(13,376,189	)
Net increase (decrease)		(129,347	)	$	(2,590,455	)		96,218		$	1,865,239
Class R5 Shares
Shares sold		555,055		$	11,173,686			1,447,762		$	27,879,490
Shares issued to shareholders in reinvestment of dividends		77,974			1,583,532			170,327			3,272,878
Shares repurchased		(911,171	)		(18,341,016	)		(1,393,727	)		(26,898,100	)
Net increase (decrease)		(278,142	)	$	(5,583,798	)		224,362		$	4,254,268

NOTE 6 –  INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $2,620,751,368 and $3,451,550,098, respectively.

NOTE 7 –  DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of the FASB Accounting Standards Codification 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2017, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract’s counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss.

The Fund entered into forward currency contracts during the six months ended March 31, 2017 in the normal course of pursuing its investment objectives, with the objective of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign investment transactions.

These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations.

The quarterly average value of open sell currency contracts for the six months ended March 31, 2017 was $5,271,874,559. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.

34    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

The following table displays the outstanding forward currency contracts at March 31, 2017:

OUTSTANDING FORWARD CURRENCY CONTRACTS TO BUY OR SELL AT MARCH 31, 2017
CONTRACT DESCRIPTION	BUY/SELL		CONTRACT PARTY*		CONTRACT AMOUNT		CONTRACT VALUE DATE		VALUE USD		UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION
South Korean Won		Buy		SSB		12,013,526,100		05/16/2017		10,748,255	$	259,756	$	—
South Korean Won		Buy		SSB		9,387,117,600		05/16/2017		8,398,461		84,288		—
South Korean Won		Buy		SSB		11,823,526,200		05/16/2017		10,578,266		77,799		—
South Korean Won		Sell		SSB		235,568,706,500		05/16/2017		210,758,482		—		(3,983,229	)
Thai Baht		Sell		BBH		1,543,281,600		05/16/2017		44,895,383		—		(801,623	)
Chinese Yuan Renminbi		Sell		SSB		5,542,696,600		04/28/2017		804,957,862		—		(2,665,087	)
Euro		Sell		SSB		111,700,000		05/15/2017		119,383,377		—		(1,701,842	)
Euro		Sell		SSB		2,350,441,200		05/15/2017		2,512,118,254		—		(8,169,740	)
Great Britain Pound		Buy		SSB		107,366,700		04/10/2017		134,538,194		—		(774,985	)
Great Britain Pound		Sell		SSB		709,091,000		04/10/2017		888,542,000		—		(12,098,433	)
Swiss Franc		Sell		SSB		473,571,500		06/30/2017		475,266,892		2,781,532		—
Swiss Franc		Buy		SSB		445,871,900		04/03/2017		445,137,423		—		(2,682,493	)
Swiss Franc		Sell		SSB		54,794,700		04/03/2017		54,704,438		257,897		—
Swiss Franc		Sell		SSB		47,930,100		04/03/2017		47,851,146		—		(246,140	)
Swiss Franc		Sell		SSB		41,248,100		04/03/2017		41,180,153		—		(351,081	)
Swiss Franc		Sell		SSB		301,899,000		04/03/2017		301,401,687		—		(4,913,595	)
Total											$	3,461,272	$	(38,388,248	)
Net unrealized appreciation (depreciation)													$	(34,926,976	)

* Counterparties include State Street Bank and Trust Company (“SSB”) and Brown Brothers Harriman & Co. (“BBH”).

The outstanding forward currency contracts in the foregoing table which were entered into with State Street Bank and Trust Company (“SSB”), were entered into pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. Outstanding forward currency contracts which were entered into with Brown Brothers Harriman & Co. (“BBH”) were entered into pursuant to a written agreement with BBH. In the event of a default or termination under the ISDA Master Agreement with SSB or the agreement with BBH, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.

Because the ISDA Master Agreement with SSB and the agreement with BBH does not result in an offset of reported amounts of financial assets and liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under such agreements, the Fund does not net its outstanding forward currency contracts for the purpose of disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation (depreciation) on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.

The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2017 is disclosed in the following table:

FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS AT MARCH 31, 2017
ASSET DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Assets - Unrealized appreciation on forward currency contracts	$	3,461,272
LIABILITY DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Liabilities - Unrealized depreciation on forward currency contracts	$	(38,388,248	)

Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at March 31, 2017 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s liabilities which is attributable to its outstanding forward currency contracts at March 31, 2017 is $34,125,353 attributable to the Fund’s contracts with SSB, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $801,623 attributable to the Fund’s contracts with

Semi-Annual Report    35

Notes to Financial Statements, Continued
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

BBH. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.

The net realized gain (loss) from forward currency contracts and the net change in unrealized appreciation (depreciation) on outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2017 are disclosed in the following tables:

NET REALIZED GAIN (LOSS) ON DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$ 255,719,049	$ 255,719,049
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$ (58,848,044)	$ (58,848,044)

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, the risks associated with investments in small- and mid-cap companies and non-U.S. issuers (including developing country issuers), credit risk, high-yield risk, interest rate risk, prepayment risk, liquidity risk and real estate investment trust risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

36    Semi-Annual Report

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Semi-Annual Report    37

Financial Highlights

    Thornburg Investment Income Builder Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																				RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+		NET REALIZED & UNREALIZED GAIN  (LOSS) ON INVESTMENTS			TOTAL  FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS		TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	19.82		0.33		0.76			1.09			(0.39	)		—		(0.39	)	$	20.52		3.33	(d)		1.19	(d)		1.19	(d)		1.19	(d)		5.52			16.78	$	3,465,919
2016(c)	$	19.07		0.93		0.62			1.55			(0.80	)		—		(0.80	)	$	19.82		4.82			1.18			1.18			1.18			8.35			42.81	$	3,778,863
2015(c)	$	21.38		0.85		(2.34	)		(1.49	)		(0.82	)		—		(0.82	)	$	19.07		4.02			1.17			1.17			1.17			(7.27	)		51.27	$	4,257,943
2014(c)	$	20.13		1.10		1.13			2.23			(0.98	)		—		(0.98	)	$	21.38		5.21			1.18			1.18			1.18			11.19			38.81	$	4,588,033
2013(c)	$	18.90		1.03		1.27			2.30			(1.07	)		—		(1.07	)	$	20.13		5.26			1.18			1.18			1.18			12.51			46.14	$	4,281,060
2012(c)	$	17.29		1.15		1.60			2.75			(1.14	)		—		(1.14	)	$	18.90		6.32			1.20			1.20			1.20			16.26			40.96	$	3,420,877
CLASS C SHARES
2017(b)	$	19.81		0.26		0.75			1.01			(0.32	)		—		(0.32	)	$	20.50		2.63	(d)		1.90	(d)		1.90	(d)		1.94	(d)		5.12			16.78	$	4,936,948
2016	$	19.06		0.79		0.62			1.41			(0.66	)		—		(0.66	)	$	19.81		4.11			1.90			1.90			1.93			7.59			42.81	$	5,356,153
2015	$	21.37		0.70		(2.34	)		(1.64	)		(0.67	)		—		(0.67	)	$	19.06		3.30			1.90			1.90			1.92			(7.93	)		51.27	$	5,906,206
2014	$	20.13		0.94		1.13			2.07			(0.83	)		—		(0.83	)	$	21.37		4.44			1.90			1.90			1.93			10.36			38.81	$	6,266,270
2013	$	18.89		0.89		1.28			2.17			(0.93	)		—		(0.93	)	$	20.13		4.55			1.90			1.90			1.94			11.78			46.14	$	5,160,706
2012	$	17.29		1.02		1.59			2.61			(1.01	)		—		(1.01	)	$	18.89		5.63			1.90			1.90			1.97			15.43			40.96	$	4,051,242
CLASS I SHARES
2017(b)	$	19.97		0.37		0.74			1.11			(0.42	)		—		(0.42	)	$	20.66		3.69	(d)		0.87	(d)		0.87	(d)		0.87	(d)		5.60			16.78	$	7,313,737
2016	$	19.21		1.00		0.62			1.62			(0.86	)		—		(0.86	)	$	19.97		5.15			0.86			0.86			0.86			8.71			42.81	$	6,928,783
2015	$	21.53		0.93		(2.35	)		(1.42	)		(0.90	)		—		(0.90	)	$	19.21		4.35			0.85			0.85			0.85			(6.94	)		51.27	$	7,472,344
2014	$	20.27		1.16		1.15			2.31			(1.05	)		—		(1.05	)	$	21.53		5.45			0.86			0.86			0.86			11.54			38.81	$	7,454,275
2013	$	19.03		1.10		1.28			2.38			(1.14	)		—		(1.14	)	$	20.27		5.58			0.85			0.85			0.85			12.94			46.14	$	5,567,617
2012	$	17.40		1.22		1.61			2.83			(1.20	)		—		(1.20	)	$	19.03		6.67			0.89			0.89			0.89			16.61			40.96	$	3,981,955
CLASS R3 SHARES
2017(b)	$	19.82		0.30		0.75			1.05			(0.36	)		—		(0.36	)	$	20.51		3.03	(d)		1.50	(d)		1.50	(d)		1.59	(d)		5.31			16.78	$	75,253
2016	$	19.07		0.87		0.62			1.49			(0.74	)		—		(0.74	)	$	19.82		4.53			1.50			1.50			1.59			8.01			42.81	$	78,188
2015	$	21.37		0.78		(2.32	)		(1.54	)		(0.76	)		—		(0.76	)	$	19.07		3.70			1.50			1.50			1.55			(7.52	)		51.27	$	79,834
2014	$	20.13		1.03		1.12			2.15			(0.91	)		—		(0.91	)	$	21.37		4.84			1.49			1.49			1.55			10.80			38.81	$	83,670
2013	$	18.89		0.97		1.28			2.25			(1.01	)		—		(1.01	)	$	20.13		4.96			1.49			1.49			1.70			12.23			46.14	$	61,334
2012	$	17.28		1.10		1.60			2.70			(1.09	)		—		(1.09	)	$	18.89		6.05			1.50			1.50			1.59			15.94			40.96	$	47,023
CLASS R4 SHARES
2017(b)	$	19.85		0.31		0.75			1.06			(0.37	)		—		(0.37	)	$	20.54		3.14	(d)		1.40	(d)		1.40	(d)		1.48	(d)		5.36			16.78	$	44,907
2016	$	19.10		0.89		0.62			1.51			(0.76	)		—		(0.76	)	$	19.85		4.63			1.40			1.40			1.48			8.12			42.81	$	45,968
2015	$	21.42		0.81		(2.35	)		(1.54	)		(0.78	)		—		(0.78	)	$	19.10		3.81			1.40			1.40			1.46			(7.48	)		51.27	$	42,392
2014	$	20.17		1.04		1.16			2.20			(0.95	)		—		(0.95	)	$	21.42		4.88			1.35			1.35			1.40			11.00			38.81	$	39,890
2013	$	18.93		0.99		1.29			2.28			(1.04	)		—		(1.04	)	$	20.17		5.05			1.37			1.37			1.41			12.35			46.14	$	24,906
2012	$	17.31		1.12		1.61			2.73			(1.11	)		—		(1.11	)	$	18.93		6.14			1.39			1.39			1.53			16.10			40.96	$	19,471
CLASS R5 SHARES
2017(b)	$	19.95		0.35		0.76			1.11			(0.41	)		—		(0.41	)	$	20.65		3.54	(d)		0.99	(d)		0.99	(d)		1.07	(d)		5.60			16.78	$	83,809
2016	$	19.20		0.98		0.62			1.60			(0.85	)		—		(0.85	)	$	19.95		5.08			0.99			0.99			1.07			8.52			42.81	$	86,535
2015	$	21.52		0.90		(2.35	)		(1.45	)		(0.87	)		—		(0.87	)	$	19.20		4.23			0.98			0.98			1.07			(7.06	)		51.27	$	78,945
2014	$	20.26		1.10		1.19			2.29			(1.03	)		—		(1.03	)	$	21.52		5.15			0.99			0.99			1.10			11.40			38.81	$	64,748
2013	$	19.01		1.07		1.30			2.37			(1.12	)		—		(1.12	)	$	20.26		5.37			0.99			0.98			1.05			12.80			46.14	$	39,985
2012	$	17.40		1.21		1.58			2.79			(1.18	)		—		(1.18	)	$	19.01		6.61			0.99			0.99			1.29			16.44			40.96	$	14,914

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

38    Semi-Annual Report Semi-Annual Report    39

Expense Example
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	1,055.18	$	6.09
Hypothetical*	$	1,000.00	$	1,019.01	$	5.98
CLASS C SHARES
Actual	$	1,000.00	$	1,051.17	$	9.71
Hypothetical*	$	1,000.00	$	1,015.47	$	9.54
CLASS I SHARES
Actual	$	1,000.00	$	1,056.03	$	4.45
Hypothetical*	$	1,000.00	$	1,020.61	$	4.37
CLASS R3 SHARES
Actual	$	1,000.00	$	1,053.13	$	7.68
Hypothetical*	$	1,000.00	$	1,017.45	$	7.55
CLASS R4 SHARES
Actual	$	1,000.00	$	1,053.65	$	7.16
Hypothetical*	$	1,000.00	$	1,017.96	$	7.04
CLASS R5 SHARES
Actual	$	1,000.00	$	1,055.96	$	5.07
Hypothetical*	$	1,000.00	$	1,020.00	$	4.99

†  Expenses are equal to the annualized expense ratio for each class (A: 1.19%; C: 1.90%; I: 0.87%; R3: 1.50%; R4: 1.40%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

40    Semi-Annual Report

Other Information
Thornburg Investment Income Builder Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    41

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task—our principal obligation to you—is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

42    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    43

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH1075

Semi-Annual Report March 31, 2017 THORNBURG GLOBAL OPPORTUNITIES FUND

About Thornburg Investment Management

It’s more than what we do. It’s how we do it.

At Thornburg, we are very different in how we think, invest, and are structured. We believe this difference is what makes us successful in helping individuals reach their long-term financial goals. How we think

Flexible Perspective

Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value.

Collaboration

Collectively, we hone ideas via borderless cross-pollination for better judgment and better results. How we invest

Portfolio Construction

Disciplined construction guided more by our convictions than convention.

CONVICTION

Thorough analysis and our relative-value framework lead to conviction in our securities selection.

UNCONVENTIONAL

Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point. How we’re structured

Structured for Excellence

How we think and how we invest is made possible by how we’re structured.

TEAM APPROACH

FAR FROM THE HERD

ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg Global Opportunities Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	7
Fund Summary	8
Schedule of Investments	9
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	26
Expense Example	28
Other Information	29
Trustees’ Statement to Shareholders	30

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	THOAX	885-215-343
Class C	THOCX	885-215-335
Class I	THOIX	885-215-327
Class R3	THORX	885-215-145
Class R4	THOVX	885-215-137
Class R5	THOFX	885-215-129

Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small- and mid-capitalization companies may increase the risk of greater price fluctuations. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Funds invested in a smaller number of holdings may expose an investor to greater volatility.

Semi-Annual Report    3

Letter to Shareholders

Thornburg Global Opportunities Fund March 31, 2017 (Unaudited)

April 20, 2017

Dear Fellow Shareholder:

This letter will highlight the results of Thornburg Global Opportunities Fund for the six-month period ended March 31, 2017. In addition, we will comment on the overall investment landscape. Recall that Thornburg Global Opportunities Fund seeks capital appreciation from a portfolio of typically 30–40 equity investments from around the world. We believe the structure of the Fund—built on our core investment principles of flexibility, focus, and value—gives us a durable framework for value-added investing.

The Fund’s total return for the six-month period ended March 31, 2017, was 13.10% (Class A shares without sales charge), outperforming the 8.18% return of the benchmark MSCI All Country World Index by almost five percentage points. The net asset value (NAV) per A share increased from $24.90 to $28.10. The Class A shares also paid dividend distributions amounting to 5.85 cents per share. The dividends per share for other share classes varied due to class-specific expenses.

Although six months is a very short measurement period, recent results extend the favorable performance that your Fund has seen over the long term. From its inception on July 28, 2006, through March 31, 2017, Thornburg Global Opportunities Fund has outperformed the MSCI All-Country World Index on average over 480 basis points (or 4.8%) per year, resulting in a total cumulative return since inception of 177% (for the A shares without sales charge) versus 72% for the index. As of March 2017, the Fund’s Class A and I shares are both rated five stars by Morningstar and rank in the top 1% of world stock funds for the time period starting August 2006. Additionally, we were pleased to be recognized last month by Investor’s Business Daily, which awarded Thornburg Global Opportunities Fund the No. 1 ranking among international funds based on its long-term record.¹ Performance data for various measurement periods is included on page 7 of this report.

Markets rallied worldwide over the past six months, with all major bourses extending their gains from the second half of last year into early 2017. Underpinning this were a host of factors including favorable macroeconomic developments in many regions and accommodative monetary policy from major central banks. JPMorgan’s Chairman Jamie Dimon recently commented that the U.S. economic agenda has awoken the “animal spirits” of the markets and boosted confidence.² From an industry perspective, nine of the eleven sectors of the MSCI All Country World Index delivered positive returns for the period ranging from 0.7% (consumer staples) to 18.3% (financials). The two sectors producing negative returns were real estate (-1.9%), and telecommunication services (-0.3%).

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.

The maximum sales charge for Class A shares is 4.50%. If the sales charge had been deducted, returns would be lower. The total annual fund operating expense of Class A shares is 1.35%, as disclosed in the most recent prospectus.

Table I Morningstar World Stock Ratings and Rankings

as of March 31, 2017

				RATINGS
				OVERALL			3-YR			5-YR			10-YR
A Shares					5			5			5			4
I Shares					5			5			5			5
# of Funds					839			839			673			382
	RANKINGS
	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
A Shares		48	%		5	%		3	%		3	%		1	%
I Shares		42	%		4	%		2	%		2	%		1	%
# of Funds		1023			839			673			382			528

Percentile rankings are based on total returns, before sales charge. Source: Morningstar.

To determine a fund’s Morningstar Rating™, funds and other managed products with at least a three-year history are ranked in their categories by their Morningstar Risk-Adjusted Return scores. The top 10% receive 5 stars; the next 22.5%, 4 stars; the middle 35%, 3 stars; the next 22.5%, 2 stars; and the bottom 10% receive 1 star. The Risk-Adjusted Return accounts for variation in a managed product’s monthly excess performance (excluding sales charges), placing more emphasis on downward variations and rewarding consistent performance. Other share classes may have different performance characteristics. © 2017 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

Table II | Total Return for Global Indices

IN U.S. DOLLAR TERMS	SIX-MONTHS ENDED MARCH 31, 2017
S&P 500 Index		10.12	%
Nikkei 225 Index		5.65	%
Euro Stoxx Index		12.14	%
Source: Bloomberg.

1. http://www.investors.com/best-mutual-fund-awards/best-mutual-funds-awards-by-category-international-stock/

2. Animal spirits is the term economist John Maynard Keynes used in the 1930s to describe the emotions that guide human behavior.

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

During the semi-annual period, 17 stocks contributed at least 25 basis points (0.25%) to overall Fund results, while four subtracted at least 25 basis points. Contribution to overall Fund performance incorporates both position size and return. Significant positive contributors during the period included multi-national telecommunications provider Altice SA; Citigroup; Macau casino operator Galaxy Entertainment; fiber network operator Level 3 Communications; and T-Mobile U.S.

T-Mobile U.S. has been in the news recently regarding mergers and acquisitions (M&A) speculation. Thornburg Global Opportunities has benefitted periodically in the past from merger activity. For example, in October 2016, Level 3 Communications announced a tie-up with another U.S. telecom operator, CenturyLink, which boosted the Fund’s performance at that time. M&A activity has flourished over the past few years, which is attributable to a variety of factors including strong balance sheets, low financing costs, and benign credit market conditions. Investment bank Jeffries reports that the U.S. high yield market just recorded its largest weekly transaction volume of all time, totaling over $17 billion of issuance and spanning the spectrum of credit quality. Chinese bidders for large Western companies have also become a major factor in recent M&A.

We attempt to be diligent in considering both the risks and benefits of M&A activity. We try to align ourselves with management teams that have shown effective judgment in the past. Sometimes M&A deals or merely rumors can catalyze other transactions. In any case, other companies in our current portfolio (e.g. Altice and InterXion) have been covered by the media in conjunction with M&A possibilities.³ The M&A landscape could remain lively in 2017.

Chart I Largest M&A Transactions, Last 12 Months

(Acquiror / Target, $ billions)

Source: Bloomberg.

Detractors during the period under review were a diverse group including global drug maker Allergan PLC, Chinese internet leader Baidu, Brazilian food giant BRF SA, Spanish infrastructure operator Ferrovial SA, and U.S. real estate lessor VEREIT, Inc. None of these had a large impact on the overall Fund result.

Portfolio turnover this year has been light. Top sector weightings as of March 31, 2017, were consumer discretionary (20.1% portfolio weighting), information technology (15.6%), telecommunication services (14.3%), financials (13.5%), and industrials (13.4%). As of March 31, 2017, the one-year forward price-to-earnings multiples for the Fund’s holdings stand at 17.8x, vs. 16.4x for the MSCI All Country World Index. Relative to the index, the Fund is overweight firms based in China and Europe, and has no direct exposure to firms based in Japan. Firms based in emerging markets constitute about 13.4% of the Fund portfolio. Table III shows the Fund’s largest geographic weightings.

Table III Largest Geographic Weightings

COUNTRY	WEIGHTING AS OF MARCH 31, 2017
United States		44.2	%
Netherlands		13.3	%
United Kingdom		10.8	%
China		8.0	%
Spain		7.9	%

As a percent of the equity holdings. Holdings are classified by country of risk, determined at the Fund advisor’s discretion.

Market Environment

On the macroeconomic front, global growth expectations have risen, supporting a rotation of investor preferences from more defensive assets toward more economically sensitive ones. Earnings estimates for the MSCI All Country World Index portfolio for 2017 were reduced throughout the first half of 2016; however, earnings expectations have recovered in most world markets in recent months. The U.S. election in November initially added fuel to budding growth expectations, though it now appears that political gridlock could persist in Washington DC. The U.S. Federal Reserve has signaled that a faster pace of Federal funds target interest rate hikes is probable in 2017 and 2018, although most major central banks continue to pursue easy monetary conditions. We are also following political elections and other developments in Europe this year with great interest.

Asset prices have been appreciating, and the opportunity set seems narrower today for value-oriented investors. We continue to urge fellow shareholders of the Fund to maintain a long-term investment perspective. Competing macroeconomic forces of fiscal restraint and monetary stimulus from governments

3. See for example Bloomberg,” T-Mobile Rises on Report SoftBank Open to Sprint Combination.” https://www.bloomberg.com/news/articles/2017-02-17/t-mobile-rises-on-report-softbank-wants-to-discuss-sprint-deal

Semi-Annual Report    5

Letter to Shareholders, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

will affect business conditions and investor sentiment, likely producing periods of volatility in the markets. The strategy of Thornburg Global Opportunities Fund is based on fundamental analysis of individual businesses, not macroeconomic forecasts. This approach has served us well over the years.

Thank you for your support of Thornburg Global Opportunities Fund. Remember that you can review additional information about your portfolio at www.thornburg.com/global.

Best wishes for a great summer.

Sincerely,

Brian McMahon	W. Vinson Walden,CFA
Portfolio Manager	Portfolio Manager
Chief Investment Officer	Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

6    Semi-Annual Report

Performance Summary
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			10-YR			SINCE INCEP.
Class A Shares (Incep: 7/28/06)
Without sales charge		13.63	%		8.58	%		12.89	%		7.38	%		10.00	%
With sales charge		8.52	%		6.93	%		11.85	%		6.89	%		9.53	%
Class C Shares (Incep: 7/28/06)
Without sales charge		12.83	%		7.76	%		12.03	%		6.57	%		9.16	%
With sales charge		11.83	%		7.76	%		12.03	%		6.57	%		9.16	%
Class I Shares (Incep: 7/28/06)		14.05	%		8.98	%		13.35	%		7.88	%		10.51	%
Class R3 Shares (Incep: 2/1/08)		13.48	%		8.41	%		12.76	%		—			6.38	%
Class R4 Shares (Incep: 2/1/08)		13.60	%		8.51	%		12.88	%		—			6.47	%
Class R5 Shares (Incep: 2/1/08)		14.06	%		8.97	%		13.34	%		—			6.93	%
MSCI All Country World Index (Since 7/28/06)		15.04	%		5.08	%		8.37	%		4.00	%		5.19	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no sales charge for Class I, R3, R4, and R5 shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.35%; C shares, 2.09%; I shares, 0.99%; R3 shares, 2.01%; R4 shares, 1.66%; and R5 shares, 1.07%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: R3 shares, 1.50%; R4 shares, 1.40%; and R5 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

Thornburg Global Opportunities Fund’s I shares earned the Investor’s Business Daily Best Mutual Funds 2017 Award, ranking first among 438 International Stock funds for 10-year average annual total returns. The awards recognize top-notch funds that beat benchmark indices (MSCI EAFE Index for Thornburg Global Opportunities Fund) in each of the one-, three-, five-, and 10-year periods, through December 31, 2016.

Glossary

The MSCI All Country (AC) World Index is a market capitalization weighted index that is representative of the market structure of 46 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim. The index is calculated with net dividends reinvested in U.S. dollars.

The MSCI EAFE (Europe, Australasia, Far East) Index is an unmanaged index. It is a generally accepted benchmark for major overseas markets. Index weightings represent the relative capitalizations of the major overseas developed markets on a U.S. dollar adjusted basis. The index is calculated with net dividends reinvested in U.S. dollars.

The S&P 500 Index is an unmanaged broad measure of the U.S. stock market.

Japan’s Nikkei 225 Stock Average is the leading index of Japanese stocks. It is a price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange.

The EURO STOXX 50 Index provides a blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 11 countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Basis Point (bp) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).

P/E – Price/Earnings ratio (P/E ratio) is a valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share. Forecasted P/E is not intended to be a forecast of the fund’s future performance.

Semi-Annual Report    7

Fund Summary
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world.

The Fund pursues its investment goals by investing primarily in a broad range of equity securities, including common stocks, preferred stocks, real estate investment trusts, other equity trusts, and partnership interests. The Fund may invest in any stock or other equity security which the investment advisor believes may assist the Fund in pursuing its goals, including smaller companies with market capitalizations of less than $500 million. The Fund may also invest in debt obligations of any kind.

MARKET CAPITALIZATION EXPOSURE

ASSET STRUCTURE

TOP TEN EQUITY HOLDINGS

Level 3 Communications, Inc.	6.3	%
Aena S.A.	5.4	%
T-Mobile US, Inc.	5.3	%
Altice N.V.	5.2	%
Alphabet, Inc. Class A	4.6	%
Barratt Developments plc	4.2	%
Baidu, Inc. ADR	4.1	%
Citigroup, Inc.	4.1	%
Wynn Resorts, Ltd.	3.8	%
Galaxy Entertainment Group Ltd.	3.5	%

There is no guarantee that the Fund will meet its investment objective.

All portfolio information is subject to change. Charts may not add up to 100% due to rounding.

SECTOR EXPOSURE

Consumer Discretionary	20.1	%
Information Technology	15.6	%
Telecommunication Services	14.3	%
Financials	13.5	%
Industrials	13.4	%
Consumer Staples	6.3	%
Materials	4.5	%
Energy	3.0	%
Health Care	1.9	%
Real Estate	1.7	%
Other Assets Less Liabilities	5.7	%

TOP TEN INDUSTRY GROUPS

Telecommunication Services	14.3	%
Transportation	11.3	%
Software & Services	10.5	%
Consumer Services	7.3	%
Banks	6.5	%
Food, Beverage & Tobacco	6.3	%
Media	5.2	%
Technology Hardware & Equipment	5.1	%
Materials	4.5	%
Consumer Durables & Apparel	4.2	%

COUNTRY EXPOSURE*

(percent of equity holdings)

United States	44.2	%
Netherlands	13.3	%
United Kingdom	10.8	%
China	8.0	%
Spain	7.9	%
Ireland	5.3	%
India	2.9	%
France	2.8	%
South Korea	2.4	%
Australia	1.5	%
Switzerland	0.7	%
Brazil	0.1	%

* The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived.

8    Semi-Annual Report

Schedule of Investments
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 94.30%
AUTOMOBILES & COMPONENTS — 3.43%
Auto Components — 3.43%
Delphi Automotive plc		874,608	$	70,397,198
				70,397,198
BANKS — 6.47%
Banks — 6.47%
Citigroup, Inc.		1,396,099		83,514,642
ING Groep N.V.		3,257,752		49,245,982
				132,760,624
CAPITAL GOODS — 2.04%
Construction & Engineering — 2.04%
Ferrovial SA		2,094,140		41,910,368
				41,910,368
CONSUMER DURABLES & APPAREL — 4.17%
Household Durables — 4.17%
Barratt Developments plc		12,495,145		85,555,520
				85,555,520
CONSUMER SERVICES — 7.34%
Hotels, Restaurants & Leisure — 7.34%
Galaxy Entertainment Group Ltd.		13,131,814		71,898,435
Wynn Resorts, Ltd.		687,295		78,770,880
				150,669,315
DIVERSIFIED FINANCIALS — 3.86%
Capital Markets — 0.68%
UBS Group AG		875,012		14,003,337
Consumer Finance — 3.18%
Capital One Financial Corp.		752,959		65,251,427
				79,254,764
ENERGY — 3.04%
Energy Equipment & Services — 0.29%
Helmerich & Payne, Inc.		88,323		5,879,662
Oil, Gas & Consumable Fuels — 2.75%		2,780,872		56,555,318
a Reliance Industries Ltd.				62,434,980
FOOD, BEVERAGE & TOBACCO — 6.32%
Food Products — 6.32%
BRF SA		179,116		2,209,055
Mondelez International, Inc.		1,633,895		70,388,197
The Kraft Heinz Co.		628,676		57,090,067
				129,687,319
HEALTH CARE EQUIPMENT & SERVICES — 0.31%
Health Care Providers & Services — 0.31%		95,880		6,319,451
a Express Scripts Holding Company				6,319,451
INSURANCE — 3.21%
Insurance — 3.21%
NN Group NV		2,023,563		65,809,086
				65,809,086
MATERIALS — 4.48%
Chemicals — 3.05%
CF Industries Holdings, Inc.		2,132,086		62,576,724
Metals & Mining — 1.43%
Mineral Resources Ltd.		3,581,222		29,412,566
				91,989,290
MEDIA — 5.16%
Media — 5.16%
a Altice N.V.		4,684,193		105,963,424
				105,963,424
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 1.63%
Pharmaceuticals — 1.63%
Allergan plc		140,340		33,530,033
				33,530,033

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
REAL ESTATE — 1.68%
Equity Real Estate Investment Trusts — 1.68%
Colony Northstar, Inc.		2,669,495	$	34,463,180
				34,463,180
SOFTWARE & SERVICES — 10.47%
Information Technology Services — 1.77%
a InterXion Holding NV		918,302		36,328,027
Internet Software & Services — 8.70%
a Alphabet, Inc. Class A		111,727		94,722,151
a Baidu, Inc. ADR		486,264		83,890,265
				214,940,443
TECHNOLOGY HARDWARE & EQUIPMENT — 5.11%
Communications Equipment — 2.89%
a EchoStar Corp.		1,042,709		59,382,278
Technology, Hardware, Storage & Peripherals — 2.22%
Samsung Electronics Co. Ltd.		24,720		45,536,260
				104,918,538
TELECOMMUNICATION SERVICES — 14.26%
Diversified Telecommunication Services — 8.95%
a Level 3 Communications, Inc.		2,252,087		128,864,418
a SFR Group SA		1,742,121		54,806,998
Wireless Telecommunication Services — 5.31%
a T-Mobile US, Inc.		1,686,958		108,960,617
				292,632,033
TRANSPORTATION — 11.32%
Airlines — 5.90%		4,095,758		52,649,981
easyJet plc
a Ryanair Holdings plc ADR		826,432		68,577,327
Transportation Infrastructure — 5.42%
Aena S.A.		702,724		111,175,442
				232,402,750
TOTAL COMMON STOCK (Cost $1,537,812,017)				1,935,638,316
SHORT TERM INVESTMENTS — 5.73%
b Thornburg Capital Management Fund		11,763,679		117,636,793
TOTAL SHORT TERM INVESTMENTS (Cost $117,636,793)				117,636,793
TOTAL INVESTMENTS — 100.03% (Cost $1,655,448,810)			$	2,053,275,109
LIABILITIES NET OF OTHER ASSETS — (0.03)%				(629,524	)
NET ASSETS — 100.00%			$	2,052,645,583

Footnote Legend

a Non-income producing.

b Investment in Affiliates - Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/ PRINCIPAL SEPTEMBER 30, 2016		GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/ PRINCIPAL MARCH 31, 2017		MARKET VALUE MARCH 31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Thornburg Capital Management Fund		8,109,038		25,815,534		22,160,893		11,763,679	$	117,636,793	$	397,201	$	—
Total non-controlled affiliated issuers - 5.73% of net assets									$	117,636,793	$	397,201	$	—

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ADR American Depositary Receipt

See notes to financial statements.

10    Semi-Annual Report

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Semi-Annual Report    11

Statement of Assets and Liabilities
Thornburg Global Opportunities Fund	March 31, 2017, (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $1,537,812,017)	$	1,935,638,316
Non-controlled affiliated issuer (cost $117,636,793)		117,636,793
Cash denominated in foreign currency (cost $5)		5
Receivable for fund shares sold		9,350,343
Unrealized appreciation on forward currency contracts (Note 7)		1,993,418
Dividends receivable		2,097,462
Prepaid expenses and other assets		80,983
Total Assets		2,066,797,320
LIABILITIES
Payable for investments purchased		87,424
Payable for fund shares redeemed		7,726,680
Unrealized depreciation on forward currency contracts (Note 7)		2,082,877
Payable to investment advisor and other affiliates (Note 4)		1,886,710
Deferred taxes payable (Note 2)		1,683,300
Accounts payable and accrued expenses		684,746
Total Liabilities		14,151,737
NET ASSETS	$	2,052,645,583
NET ASSETS CONSIST OF
Undistributed net investment income	$	502,048
Net unrealized appreciation on investments		396,085,899
Accumulated net realized gain (loss)		(208,340,815	)
Net capital paid in on shares of beneficial interest		1,864,398,451
	$	2,052,645,583

12    Semi-Annual Report

Statement of Assets and Liabilities, Continued
Thornburg Global Opportunities Fund	March 31, 2017, (Unaudited)

NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($394,301,468 applicable to 14,030,948 shares of beneficial interest outstanding - Note 5)	$	28.10
Maximum sales charge, 4.50% of offering price		1.32
Maximum offering price per share	$	29.42
Class C Shares:
Net asset value and offering price per share* ($359,554,883 applicable to 13,230,403 shares of beneficial interest outstanding - Note 5)	$	27.18
Class I Shares:
Net asset value, offering and redemption price per share ($1,197,920,056 applicable to 42,524,185 shares of beneficial interest outstanding - Note 5)	$	28.17
Class R3 Shares:
Net asset value, offering and redemption price per share ($10,896,518 applicable to 391,631 shares of beneficial interest outstanding - Note 5)	$	27.82
Class R4 Shares:
Net asset value, offering and redemption price per share ($23,451,565 applicable to 842,241 shares of beneficial interest outstanding - Note 5)	$	27.84
Class R5 Shares:
Net asset value, offering and redemption price per share ($66,521,093 applicable to 2,358,961 shares of beneficial interest outstanding - Note 5)	$	28.20

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    13

Statement of Operations
Thornburg Global Opportunities Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Dividend income
Non-affiliated issuers (net of foreign taxes withheld of $111,519)	$	17,320,763
Non-controlled affiliated issuer		397,201
Total Income		17,717,964
EXPENSES
Investment advisory fees (Note 4)		7,733,776
Administration fees (Note 4)
Class A Shares		259,951
Class C Shares		221,244
Class I Shares		265,259
Class R3 Shares		6,580
Class R4 Shares		14,008
Class R5 Shares		15,885
Distribution and service fees (Note 4)
Class A Shares		519,158
Class C Shares		1,766,993
Class R3 Shares		26,411
Class R4 Shares		28,017
Transfer agent fees
Class A Shares		283,525
Class C Shares		225,687
Class I Shares		567,998
Class R3 Shares		19,509
Class R4 Shares		38,605
Class R5 Shares		87,518
Registration and filing fees
Class A Shares		18,769
Class C Shares		13,354
Class I Shares		48,270
Class R3 Shares		7,783
Class R4 Shares		8,212
Class R5 Shares		8,798
Custodian fees (Note 2)		139,260
Professional fees		45,932
Accounting fees (Note 4)		34,010
Trustee fees		41,308
Other expenses		212,676
Total Expenses		12,658,496
Less:
Expenses reimbursed by investment advisor (Note 4)		(271,030	)
Net Expenses		12,387,466
Net Investment Income	$	5,330,498

14    Semi-Annual Report

Statement of Operations, Continued
Thornburg Global Opportunities Fund	Six Months Ended March 31, 2017 (Unaudited)

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Non-affiliated issuer investments	$	(14,320,414	)
Forward currency contracts (Note 7)		27,382,999
Foreign currency transactions		(121,604	)
		12,940,981
Net change in unrealized appreciation (depreciation) on:
Non-affiliated issuer investments (net of change in deferred taxes payable of $ 1,683,300)		218,908,147
Forward currency contracts (Note 7)		1,023,665
Foreign currency translations		31,370
		219,963,182
Net Realized and Unrealized Gain		232,904,163
Net Increase in Net Assets Resulting from Operations	$	238,234,661

See notes to financial statements.

Semi-Annual Report    15

Statements of Changes in Net Assets

Thornburg Global Opportunities Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	5,330,498		$	24,603,881
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions		12,940,981			(152,227,669	)
Net unrealized appreciation (depreciation) on investments, deferred taxes payable, forward currency contracts, and foreign currency translations		219,963,182			156,517,976
Net Increase (Decrease) in Net Assets Resulting from Operations		238,234,661			28,894,188
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(918,004	)		(3,010,113	)
Class C Shares		(156,914	)		—
Class I Shares		(4,598,694	)		(13,341,341	)
Class R3 Shares		(19,940	)		(36,643	)
Class R4 Shares		(50,699	)		(110,179	)
Class R5 Shares		(270,665	)		(1,174,656	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(98,393,088	)		(110,083,884	)
Class C Shares		(42,048,088	)		(7,662,535	)
Class I Shares		72,240,630			(293,034,015	)
Class R3 Shares		(1,019,955	)		1,433,669
Class R4 Shares		(687,633	)		8,050,573
Class R5 Shares		(1,445,967	)		(48,461,226	)
Net Increase (Decrease) in Net Assets		160,865,644			(438,536,162	)
NET ASSETS
Beginning of Period		1,891,779,939			2,330,316,101
End of Period	$	2,052,645,583		$	1,891,779,939
Undistributed net investment income	$	502,048		$	1,186,466

* Unaudited.

See notes to financial statements.

16    Semi-Annual Report

Notes to Financial Statements
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg Global Opportunities Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world.

The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, and (vi) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	1,655,781,963
Gross unrealized appreciation on a tax basis	$	410,509,713
Gross unrealized depreciation on a tax basis		(13,016,568	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	397,493,145

At March 31, 2017, the Fund had deferred tax basis late year specified ordinary losses occurring subsequent to December 31, 2015 through September 30, 2016 of $301,466. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $133,084,576. For tax purposes, such capital losses will be recognized in the year ending September 30, 2017.

18    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

At March 31, 2017, the Fund had cumulative tax basis capital losses of $18,965,104, (of which $18,965,104 are short-term and $0 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire, but are required to be utilized to offset future gains prior to the utilization of losses generated prior to October 1, 2011.

At March 31, 2017, the Fund had tax basis capital losses of $65,016,060 generated prior to October 1, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards expire September 30, 2018.

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing

price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of

Semi-Annual Report    19

Notes to Financial Statements, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

20    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL			LEVEL 1		LEVEL 2			LEVEL 3
Assets
Investments in Securities*
Common Stock	$	1,935,638,316		$	1,935,638,316	$	—		$	—
Short Term Investments		117,636,793			117,636,793		—			—
Total Investments in Securities	$	2,053,275,109		$	2,053,275,109	$	—		$	—
Other Financial Instruments**
Forward Currency Contracts	$	1,993,418		$	—	$	1,993,418		$	—
Liabilities
Other Financial Instruments**
Forward Currency Contracts	$	(2,082,877	)	$	—	$	(2,082,877	)	$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

** Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment.

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.875	%
Next $500 million		0.825
Next $500 million		0.775
Next $500 million		0.725
Over $2 billion		0.675

The Fund’s effective management fee for the period ended March 31, 2017 was 0.802% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $34,010 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $20,752 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $15,426 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A, Class C, Class R3, and Class R4 shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I

Semi-Annual Report    21

Notes to Financial Statements, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

and R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $149,259 for Class I shares, $26,163 for Class R3 shares, $27,384 for Class R4 shares, and $68,224 for Class R5 shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by the Trustees and Officers of the Trust and the Advisor is approximately 2.23%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had no transactions with affiliated funds.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		1,548,219		$	40,847,954			8,325,065		$	206,319,481
Shares issued to shareholders in reinvestment of dividends		32,274			851,742			110,072			2,763,766
Shares repurchased		(5,343,689	)		(140,092,784	)		(13,183,729	)		(319,167,131	)
Net increase (decrease)		(3,763,196	)	$	(98,393,088	)		(4,748,592	)	$	(110,083,884	)
Class C Shares
Shares sold		912,049		$	23,422,105			4,803,724		$	115,763,249
Shares issued to shareholders in reinvestment of dividends		5,507			140,551			—			—
Shares repurchased		(2,585,098	)		(65,610,744	)		(5,248,474	)		(123,425,784	)
Net increase (decrease)		(1,667,542	)	$	(42,048,088	)		(444,750	)	$	(7,662,535	)
Class I Shares
Shares sold		9,821,601		$	263,013,467			18,934,040		$	468,189,151
Shares issued to shareholders in reinvestment of dividends		147,035			3,934,986			471,633			11,765,280
Shares repurchased		(7,381,612	)		(194,707,823	)		(31,876,944	)		(772,988,446	)
Net increase (decrease)		2,587,024		$	72,240,630			(12,471,271	)	$	(293,034,015	)

22    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class R3 Shares
Shares sold		54,445		$	1,418,619			305,984		$	7,356,605
Shares issued to shareholders in reinvestment of dividends		409			10,680			773			19,074
Shares repurchased		(94,886	)		(2,449,254	)		(244,734	)		(5,942,010	)
Net increase (decrease)		(40,032	)	$	(1,019,955	)		62,023		$	1,433,669
Class R4 Shares
Shares sold		282,889		$	7,613,447			659,749		$	16,156,222
Shares issued to shareholders in reinvestment of dividends		1,419			37,062			3,301			81,175
Shares repurchased		(309,973	)		(8,338,142	)		(339,232	)		(8,186,824	)
Net increase (decrease)		(25,665	)	$	(687,633	)		323,818		$	8,050,573
Class R5 Shares
Shares sold		328,072		$	8,684,096			1,385,031		$	34,352,393
Shares issued to shareholders in reinvestment of dividends		9,865			264,006			46,737			1,162,738
Shares repurchased		(390,135	)		(10,394,069	)		(3,446,732	)		(83,976,357	)
Net increase (decrease)		(52,198	)	$	(1,445,967	)		(2,014,964	)	$	(48,461,226	)

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $276,445,205 and $358,949,853, respectively.

NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of the FASB Accounting Standards Codification 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2017, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract’s counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss.

The Fund entered into forward currency contracts during the six months ended March 31, 2017 in the normal course of pursuing its investment objectives, with the objective of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign investment transactions.

These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations.

The quarterly average value of open sell currency contracts for the six months ended March 31, 2017 was $569,860,908. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.

Semi-Annual Report    23

Notes to Financial Statements, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

The following table displays the outstanding forward currency contracts at March 31, 2017:

OUTSTANDING FORWARD CURRENCY CONTRACTS TO BUY OR SELL AT MARCH 31, 2017
CONTRACT DESCRIPTION	BUY/SELL	CONTRACT AMOUNT		CONTRACT VALUE DATE		VALUE USD		UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION
Australian Dollar	Buy		2,143,400		05/01/2017		1,636,765	$	21,844	$	—
Australian Dollar	Buy		2,211,400		05/01/2017		1,688,692		16,343		—
Australian Dollar	Buy		3,606,300		05/01/2017		2,753,879		—		(11,287	)
Australian Dollar	Buy		3,758,500		05/01/2017		2,870,104		—		(29,508	)
Australian Dollar	Sell		42,016,700		05/01/2017		32,085,219		—		(417,904	)
Euro	Sell		377,156,500		05/15/2017		403,099,524		1,685,199		—
Great Britain Pound	Sell		11,918,000		04/10/2017		14,934,111		80,841		—
Great Britain Pound	Buy		22,065,900		04/10/2017		27,650,159		80,582		—
Great Britain Pound	Buy		8,199,500		04/10/2017		10,274,563		68,522		—
Great Britain Pound	Sell		14,123,500		04/10/2017		17,697,761		—		(66,690	)
Great Britain Pound	Sell		18,971,500		04/10/2017		23,772,653		—		(245,717	)
Great Britain Pound	Sell		67,645,800		04/10/2017		84,765,050		—		(1,154,165	)
Swiss Franc	Sell		6,825,100		06/30/2017		6,849,534		40,087		—
Swiss Franc	Buy		7,070,100		04/03/2017		7,058,454		—		(42,536	)
Swiss Franc	Sell		7,070,100		04/03/2017		7,058,454		—		(115,070	)
Total								$	1,993,418	$	(2,082,877	)
Net unrealized appreciation (depreciation)										$	(89,459	)

The outstanding forward currency contracts in the foregoing table were entered into with State Street Bank and Trust Company (“SSB”), pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement with SSB, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.

Because the ISDA Master Agreement with SSB does not result in an offset of reported amounts of financial assets and liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.

The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2017 is disclosed in the following table:

FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS AT MARCH 31, 2017
ASSET DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Assets - Unrealized appreciation on forward currency contracts	$  1,993,418
LIABILITY DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Liabilities - Unrealized depreciation on forward currency contracts	$(2,082,877)

Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with SSB, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at March 31, 2017 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at March 31, 2017 is $0, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $89,459. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.

24    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

The net realized gain (loss) from forward currency contracts and the net change in unrealized appreciation (depreciation) on outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2017 are disclosed in the following tables:

NET REALIZED GAIN (LOSS) ON DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$ 27,382,999	$ 27,382,999
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL	FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$ 1,023,665	$ 1,023,665

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in small- and mid-cap companies and non-U.S. issuers (including developing country issuers), credit risk, real estate investment trusts, and interest rate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    25

Financial Highlights

    Thornburg Global Opportunities Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+			NET REALIZED  & UNREALIZED GAIN (LOSS) ON INVESTMENTS		TOTAL FROM INVESTMENT OPERATIONS	DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS	TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)	PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	24.90		0.06			3.20	3.26		(0.06	)	—		(0.06	)	$28.10		0.48	(e)		1.37	(e)		1.37	(e)		1.37	(e)	13.10		15.32	$	394,301
2016(c)	$	24.41		0.25			0.38	0.63		(0.14	)	—		(0.14	)	$24.90		1.02			1.35			1.35			1.35		2.57		37.11	$	443,072
2015(c)	$	23.74		(0.11	)		0.78	0.67		—		—		—		$24.41		(0.42	)		1.32			1.32			1.32		2.82		45.41	$	550,327
2014(c)	$	19.72		(0.03	)		4.13	4.10		(0.08	)	—		(0.08	)	$23.74		(0.15	)		1.41			1.41			1.41		20.85		60.29	$	207,227
2013(c)	$	15.97		0.11			3.79	3.90		(0.15	)	—		(0.15	)	$19.72		0.60			1.46			1.46			1.46		24.50		66.12	$	96,855
2012(c)	$	13.15		0.14			2.89	3.03		(0.21	)	—		(0.21	)	$15.97		0.94			1.49			1.49			1.49		23.22		66.07	$	77,103
CLASS C SHARES
2017(b)	$	24.13		(0.03	)		3.09	3.06		(0.01	)	—		(0.01	)	$27.18		(0.27	)(e)		2.11	(e)		2.11	(e)		2.11	(e)	12.69		15.32	$	359,555
2016	$	23.70		0.07			0.36	0.43		—		—		—		$24.13		0.29			2.09			2.09			2.09		1.81		37.11	$	359,426
2015	$	23.23		(0.31	)		0.78	0.47		—		—		—		$23.70		(1.20	)		2.10			2.10			2.10		2.02		45.41	$	363,615
2014	$	19.38		(0.20	)		4.07	3.87		(0.02	)	—		(0.02	)	$23.23		(0.92	)		2.17			2.17			2.17		19.96		60.29	$	143,506
2013	$	15.69		(0.03	)		3.72	3.69		—		—		—		$19.38		(0.18	)		2.22			2.22			2.22		23.52		66.12	$	87,808
2012	$	12.98		0.02			2.84	2.86		(0.15	)	—		(0.15	)	$15.69		0.17			2.27			2.27			2.27		22.21		66.07	$	76,738
CLASS I SHARES
2017(b)	$	24.96		0.11			3.21	3.32		(0.11	)	—		(0.11	)	$28.17		0.84	(e)		0.99	(e)		0.99	(e)		1.02	(e)	13.34		15.32	$	1,197,920
2016	$	24.53		0.34			0.37	0.71		(0.28	)	—		(0.28	)	$24.96		1.39			0.99			0.99			0.99		2.91		37.11	$	996,970
2015	$	23.79		(0.02	)		0.77	0.75		(0.01	)	—		(0.01	)	$24.53		(0.08	)		0.97			0.97			0.98		3.17		45.41	$	1,285,609
2014	$	19.74		0. 06			4.15	4.21		(0.16	)	—		(0.16	)	$23.79		0.26			0.99			0.99			1.08		21.39		60.29	$	453,511
2013	$	16.06		0.19			3.80	3.99		(0.31	)	—		(0.31	)	$19.74		1.07			0.99			0.99			1.11		25.08		66.12	$	249,283
2012	$	13.20		0.21			2.90	3.11		(0.25	)	—		(0.25	)	$16.06		1.44			0.99			0.99			1.21		23.82		66.07	$	169,384
CLASS R3 SHARES
2017(b)	$	24.66		0.04			3.17	3.21		(0.05	)	—		(0.05	)	$27.82		0.34	(e)		1.50	(e)		1.50	(e)		2.00	(e)	13.03		15.32	$	10,897
2016	$	24.18		0.20			0.38	0.58		(0.10	)	—		(0.10	)	$24.66		0.84			1.50			1.50			2.01		2.38		37.11	$	10,645
2015	$	23.55		(0.15	)		0.78	0.63		—		—		—		$24.18		(0.58	)		1.50			1.50			2.15		2.68		45.41	$	8,936
2014	$	19.55		(0.06	)		4.11	4.05		(0.05	)	—		(0.05	)	$23.55		(0.26	)		1.50			1.50			2.59		20.75		60.29	$	2,182
2013	$	15.91		0.11			3.74	3.85		(0.21	)	—		(0.21	)	$19.55		0.60			1.49			1.49			3.41		24.37		66.12	$	1,653
2012	$	13.11		0.11			2.90	3.01		(0.21	)	—		(0.21	)	$15.91		0.75			1.50			1.50			9.01	(d)	23.22		66.07	$	894
CLASS R4 SHARES
2017(b)	$	24.67		0.06			3.17	3.23		(0.06	)	—		(0.06	)	$27.84		0.43	(e)		1.40	(e)		1.40	(e)		1.64	(e)	13.10		15.32	$	23,452
2016	$	24.22		0.24			0.35	0.59		(0.14	)	—		(0.14	)	$24.67		0.98			1.40			1.40			1.66		2.45		37.11	$	21,415
2015	$	23.57		(0.13	)		0.78	0.65		—		—		—		$24.22		(0.51	)		1.40			1.40			1.76		2.76		45.41	$	13,175
2014	$	19.59		(0.03	)		4.10	4.07		(0.09	)	—		(0.09	)	$23.57		(0.14	)		1.40			1.40			2.23		20.82		60.29	$	4,462
2013	$	15.90		0.12			3.76	3.88		(0.19	)	—		(0.19	)	$19.59		0.68			1.40			1.40			2.76		24.57		66.12	$	2,161
2012	$	13.09		0.15			2.88	3.03		(0.22	)	—		(0.22	)	$15.90		1.05			1.40			1.40			3.72		23.36		66.07	$	1,329
CLASS R5 SHARES
2017(b)	$	24.99		0.11			3.21	3.32		(0.11	)	—		(0.11	)	$28.20		0.85	(e)		0.99	(e)		0.99	(e)		1.20	(e)	13.32		15.32	$	66,521
2016	$	24.55		0.34			0.37	0.71		(0.27	)	—		(0.27	)	$24.99		1.38			0.99			0.99			1.07		2.91		37.11	$	60,252
2015	$	23.81		(0.03	)		0.78	0.75		(0.01	)	—		(0.01	)	$24.55		(0.11	)		0.98			0.98			1.02		3.17		45.41	$	108,654
2014	$	19.76		0.06			4.15	4.21		(0.16	)	—		(0.16	)	$23.81		0.26			0.99			0.99			1.10		21.36		60.29	$	74,212
2013	$	16.07		0.18			3.82	4.00		(0.31	)	—		(0.31	)	$19.76		1.03			0.99			0.99			1.15		25.13		66.12	$	49,023
2012	$	13.21		0.21			2.90	3.11		(0.25	)	—		(0.25	)	$16.07		1.44			0.99			0.99			1.15		23.80		66.07	$	50,327

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Due to the size of net assets and fixed expenses, ratios may appear disproportionate.

(e) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

26    Semi-Annual Report Semi-Annual Report    27

Expense Example
Thornburg Global Opportunities Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	1,131.01	$	7.29
Hypothetical*	$	1,000.00	$	1,018.09	$	6.90
CLASS C SHARES
Actual	$	1,000.00	$	1,126.90	$	11.19
Hypothetical*	$	1,000.00	$	1,014.41	$	10.60
CLASS I SHARES
Actual	$	1,000.00	$	1,133.39	$	5.26
Hypothetical*	$	1,000.00	$	1,020.00	$	4.98
CLASS R3 SHARES
Actual	$	1,000.00	$	1,130.29	$	7.97
Hypothetical*	$	1,000.00	$	1,017.44	$	7.55
CLASS R4 SHARES
Actual	$	1,000.00	$	1,131.04	$	7.44
Hypothetical*	$	1,000.00	$	1,017.95	$	7.04
CLASS R5 SHARES
Actual	$	1,000.00	$	1,133.21	$	5.27
Hypothetical*	$	1,000.00	$	1,020.00	$	4.99

† Expenses are equal to the annualized expense ratio for each class (A: 1.37%; C: 2.11%; I: 0.99%; R3: 1.50%; R4: 1.40%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

28    Semi-Annual Report

Other Information
Thornburg Global Opportunities Fund	March 31, 2017

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    29

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task — our principal obligation to you—is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

30    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    31

To receive shareholder reports, prospectuses, and proxy statements electronically, go to www.thornburg.com/edelivery.   This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH1411

2    Semi-Annual Reports

Semi-Annual Report

Thornburg Developing World Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	9
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	26
Expense Example	28
Other Information	29
Trustees’ Statement to Shareholders	30

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	THDAX	885-216-408
Class C	THDCX	885-216-507
Class I	THDIX	885-216-606
Class R5	THDRX	885-216-846
Class R6	TDWRX	885-216-838

Class I, R5, and R6 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small- and mid-capitalization companies may increase the risk of greater price fluctuations. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Funds invested in a smaller number of holdings may expose an investor to greater volatility.

Semi-Annual Report    3

Letter to Shareholders
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

April 17, 2017

Dear Fellow Shareholder,

At the start of this semi-annual period last October 1, global markets were still generally weak and risk appetite tepid. But a bullish shift was just starting to take shape as developed world economic data, particularly in Europe, began to diverge from the then-prevailing “secular stagnation” meme. China’s contribution to market anxiety over deflationary pressures also began to abate after its producer price data turned positive in September for the first time in five years. That, in turn, helped soothe concerns about its slowing economy amid a transition to more consumer-driven from investment-led growth. Fears about the impact of the U.S. general election in November and an expected Federal Reserve interest rate hike in December still undercut emerging market performance in the last leg of 2016, but it nonetheless turned out to be a banner year for emerging market equities.

Although the Fed did indeed hike its key interest rate a quarter-point in December, and raised it again in March this year, worries that capital would fly from emerging markets for dollar-based assets have so far proven unfounded. Investors have focused more on the global reflation trade, with the rebound in world economic growth led by emerging markets. Meanwhile, developing country stocks continued to race higher, with the MSCI Emerging Markets Index gaining 11.5% in the first quarter of 2017, more than matching the 11.2% advance for all of calendar 2016.

Much of last year’s emerging market gains were driven narrowly by commodities and energy prices, primarily in Brazil and Russia. Moreover, developing world corporate earnings were generally lagging the rebound in emerging market share prices and valuation multiples. More defensive sectors even declined as investors shifted toward cyclically focused sectors, including technology and financials. Given our preference for free cash flow generative, less leveraged stocks, we typically lag in strong cyclical upswings. For the six months ended March 31, 2017, the Thornburg Developing World Fund returned 0.29% for the Class A shares (without sales charge), under-performing the benchmark MSCI Emerging Markets Index, which returned 6.80% in the period.

As we have pointed out, we aim to outperform over full market cycles, and with lower volatility, by compounding off a higher base of downside protection following inevitable downturns.

In the six months through March 31, 2017, our top contributors included Samsung Electronics; Galaxy Entertainment; Itau Unibanco; Novatek; and Reliance Industries. Samsung rose thanks to better-than-expected end-market fundamentals and increased pressure to restructure into a more transparent organization, while increasing cash return to shareholders. Galaxy Entertainment rebounded on a recovery in gross gaming revenue, amid a greater focus on Macau’s mass market segment and optimism in its property development pipeline. Itau Unibanco, Brazil’s premier private sector bank, climbed as growth expectations improved and it signaled that a peak in non-performing loans may be at hand. Russian oil and gas producer Novatek rebounded with improved sentiment and energy prices. Lastly, India’s Reliance Industries Limited gained as its significant investments in what is now the country’s largest 4G network is showing signs of monetization, with many millions of new clients joining the network. Reliance also benefited from the rise in energy prices late last year.

The main detractors in the six-month period were Amorepacific; Liberty Global; CT Environmental Group; PT Matahari Department Store; and GT Capital. South Korean cosmetics maker Amorepacific declined as geopolitical tensions between China and South Korea rose, prompting a reduction in Chinese leisure travel to South Korea and investor concerns about a retrenchment in Chinese spending on Amorepacific products. Liberty Global plc LiLAK is a Latin America-focused telecom and cable operator that is part of the Liberty Global group. It declined after reporting much-lower-than expected earnings before interest, taxes, depreciation and amortization (EBITDA) following the closure of a recent acquisition, sparking concerns the company had overpaid for an asset with limited growth. We sold the stock. Chinese wastewater utility CT Environmental Group was the target of a short-seller attack launched the night before Thanksgiving. Although we believe the allegations weren’t well established and the shares have begun to slowly recover, its troubles may not be over, so we sold the shares. Indonesia’s PT Matahari Department Store fell on concerns about increasing competition in its apparel segment and weaker-than-expected 2017 guidance. GT Capital, an investment holding company based in the Philippines, declined with the Philippine peso due to concerns around margin pressure in its Toyota Motors subsidiary, which imports some parts from other markets.

We remain optimistic about the accelerating economic recovery in emerging markets and the growing breadth of the rebound in earnings across sectors in developing countries. Earnings revisions are for the most part positive, and not just in the most cyclically sensitive sectors. Although commodities and energy prices bounced back in 2016 and contributed to a recovery in global inflation later in the year, price pressures are hardly threatening, keeping the specter of aggressive central

4    Semi-Annual Report

Letter to Shareholders,
Continued Thornburg Developing World Fund	March 31, 2017 (Unaudited)

bank monetary tightening at bay, certainly in the near term. We believe this is a favorable environment for our disciplined, bottom-up investment process, as country and sector stock correlations ebb.

Thank you for investing alongside us in Thornburg Developing World Fund.

Sincerely,

Ben Kirby, CFA	Charlie Wilson, PhD
Portfolio Manager	Portfolio Manager
Managing Director	Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			SINCE INCEP.
Class A Shares (Incep: 12/16/09)
Without sales charge		7.53	%		-2.91	%		1.95	%		5.07	%
With sales charge		2.68	%		-4.38	%		1.01	%		4.41	%
Class C Shares (Incep: 12/16/09)
Without sales charge		6.63	%		-3.64	%		1.17	%		4.32	%
With sales charge		5.63	%		-3.64	%		1.17	%		4.32	%
Class I Shares (Incep: 12/16/09)		7.94	%		-2.49	%		2.42	%		5.60	%
Class R5 Shares (Incep: 2/1/13)		7.89	%		-2.48	%		—			0.17	%
Class R6 Shares (Incep: 2/1/13)		8.03	%		-2.38	%		—			0.27	%
MSCI Emerging Markets Index (Since 12/16/09)		17.22	%		1.18	%		0.81	%		2.19	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no sales charge for Class I, R5, and R6 shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.57%; C shares, 2.34%; I shares, 1.16%; R5 shares, 1.75%; R6 shares, 1.17%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for some of the share classes, resulting in net expense ratios of the following: I shares, 1.09%; R5 shares, 1.09%; R6 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 23 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

EBITDA – Earnings Before Interest, Taxes, Depreciation and Amortization. An approximate measure of a company’s operating cash flow based on data from the company’s income statement.

Multiple – A valuation multiple reflects an investment’s market value relative to some key metric. Price to earnings ratio (P/E) is a commonly used multiple. It’s calculated by dividing a stock’s price by the company’s earnings per share.

Producer Price Index (PPI) – Measures the average change over time in selling price received by domestic producers for their goods and services. The prices included in the PPI are from the first commercial transaction for many products and some services.

6     Semi-Annual Report

Fund Summary
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks long-term capital appreciation. Under normal market conditions the Fund invests at least 80% of its assets in equity securities and debt obligations of developing country issuers. A developing country issuer is a company or sovereign entity that is domiciled or otherwise tied economically to one or more developing countries. The Fund expects that investments in the Fund’s portfolio normally will be weighted in favor of equity securities.

MARKET CAPITALIZATION EXPOSURE

BASKET STRUCTURE

TOP TEN EQUITY HOLDINGS

Tencent Holdings Ltd.	4.6	%
Alibaba Group Holding Ltd. ADR	4.3	%
HDFC Bank Ltd. ADR	4.0	%
AIA Group Ltd.	4.0	%
Samsung Electronics Co. Ltd.	3.5	%
Baidu, Inc. ADR	2.9	%
Sanlam Ltd.	2.6	%
Facebook, Inc.	2.5	%
ICICI Bank Ltd. ADR	2.5	%
ITC Ltd.	2.3	%

SECTOR EXPOSURE

Financials	26.0	%
Information Technology	24.0	%
Consumer Staples	11.9	%
Consumer Discretionary	8.7	%
Energy	5.4	%
Real Estate	5.1	%
Health Care	4.8	%
Industrials	4.8	%
Telecommunication Services	3.4	%
Materials	0.9	%
Utilities	0.8	%
Other Assets Less Liabilities	4.2	%

TOP TEN INDUSTRY GROUPS

Software & Services	16.8	%
Banks	15.8	%
Insurance	6.6	%
Technology Hardware & Equipment	5.8	%
Energy	5.4	%
Food, Beverage & Tobacco	5.3	%
Real Estate	5.1	%
Food & Staples Retailing	3.9	%
Diversified Financials	3.5	%
Telecommunication Services	3.4	%

There is no guarantee that the Fund will meet its investment objective.

All portfolio information is subject to change. Charts may not add up to 100% due to rounding.

Semi-Annual Report    7

Fund Summary, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

COUNTRY EXPOSURE*

(percent of equity holdings)

China	22.3	%
India	15.0	%
Brazil	9.6	%
Hong Kong	8.5	%
South Korea	8.5	%
Mexico	4.9	%
United States	4.9	%
Indonesia	3.8	%
Russia	3.5	%
South Africa	3.2	%
Taiwan	2.6	%
Netherlands	2.3	%
Turkey	2.0	%
United Arab Emirates	2.0	%
Philippines	1.9	%
Thailand	1.9	%
United Kingdom	1.8	%
Switzerland	1.3	%

* The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived. The Advisor may deem certain issuers to be developing country issuers, as defined in the Fund’s prospectus, even if those issuers have country exposure in a developed country.

8    Semi-Annual Report

Schedule of Investments
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 95.84%
BANKS — 15.80%
Banks — 15.80%
Citigroup, Inc.		380,009	$	22,732,139
Grupo Financiero Banorte, S.A.B. de C.V.		2,601,082		14,968,317
HDFC Bank Ltd.		461,970		10,507,532
HDFC Bank Ltd. ADR		411,368		30,943,101
ICICI Bank Ltd. ADR		2,928,400		25,184,240
Itau Unibanco Holding SA ADR		1,235,128		14,907,995
PT Bank Central Asia		19,176,294		23,816,567
Siam Commercial Bank plc		3,981,229		18,885,131
				161,945,022
CAPITAL GOODS — 0.59%
Industrial Conglomerates — 0.59%
CJ Corp.		39,110		6,085,255
				6,085,255
COMMERCIAL & PROFESSIONAL SERVICES — 1.00%
Commercial Services & Supplies — 1.00%
Valid Solucoes e Servicos SA		1,414,458		10,211,062
				10,211,062
CONSUMER DURABLES & APPAREL — 1.92%
Household Durables — 1.92%
Coway Co., Ltd.		229,331		19,727,839
				19,727,839
CONSUMER SERVICES — 2.74%
Diversified Consumer Services — 1.58%
Kroton Educacional S.A.		3,818,550		16,198,283
Hotels, Restaurants & Leisure — 1.16%
Galaxy Entertainment Group Ltd.		2,174,839		11,907,534
				28,105,817
DIVERSIFIED FINANCIALS — 3.53%
Capital Markets — 1.73%
Hong Kong Exchanges & Clearing Ltd.		704,831		17,739,811
Diversified Financial Services — 1.80%
GT Capital Holdings, Inc.		809,233		18,466,802
				36,206,613
ENERGY — 5.44%
Energy Equipment & Services — 2.23%
Schlumberger Ltd.		292,182		22,819,414
Oil, Gas & Consumable Fuels — 3.21%
NovaTek OAO-GDR Reg S		116,653		14,523,298
a Reliance Industries Ltd.		906,097		18,427,531
				55,770,243
FOOD & STAPLES RETAILING — 3.88%
Food & Staples Retailing — 3.88%
BIM Birlesik Magazalar A.S.		1,303,631		20,050,619
Magnit PJSC GDR		516,348		19,724,494
				39,775,113
FOOD, BEVERAGE & TOBACCO — 5.27%
Beverages — 0.90%
Kweichow Moutai Co., Ltd.		164,666		9,232,267
Food Products — 1.02%
Grupo Lala, S.A.B. de C.V.		5,776,187		10,483,507
Tobacco — 3.35%
ITC Ltd.		5,516,046		23,848,925
KT&G Corp.		120,471		10,503,373
				54,068,072

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
HEALTH CARE EQUIPMENT & SERVICES — 1.75%
Health Care Providers & Services — 1.75%
Life Healthcare Group Holdings Ltd.		2,114,393	$	4,568,807
Sinopharm Group Co., Ltd.		2,875,932		13,340,712
				17,909,519
HOUSEHOLD & PERSONAL PRODUCTS — 2.77%
Personal Products — 2.77%
AmorePacific Corp.		42,715		10,714,081
Unilever N.V.		354,829		17,627,905
				28,341,986
INSURANCE — 6.64%
Insurance — 6.64%
AIA Group Ltd.		6,493,387		40,941,384
Sanlam Ltd.		5,395,144		27,091,836
				68,033,220
MATERIALS — 0.87%
Metals & Mining — 0.87%
Vedanta Ltd.		2,107,584		8,948,347
				8,948,347
MEDIA — 2.66%
Media — 2.66%
a IMAX China Holding, Inc.		2,827,760		14,554,513
Zee Entertainment Enterprises Ltd.		1,546,333		12,752,157
				27,306,670
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 3.09%
Pharmaceuticals — 1.87%
a,b China Animal Healthcare Ltd.		35,787,582		920,996
Hypermarcas SA		1,967,958		18,229,982
Novartis AG ADR		168,242		12,495,333
				31,646,311
REAL ESTATE — 5.09%
Equity Real Estate Investment Trusts — 2.19%
Fibra Uno Administracion S.A. de C.V.		13,103,603		22,403,628
Real Estate Management & Development — 2.90%
China Resources Land Ltd.		3,697,015		9,990,004
Emaar Properties PJSC		9,949,310		19,774,555
				52,168,187
RETAILING — 1.33%
Multiline Retail — 1.33%
Matahari Department Store Tbk		13,832,886		13,676,656
				13,676,656
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.38%
Semiconductors & Semiconductor Equipment — 1.38%
Taiwan Semiconductor Manufacturing Co., Ltd.		2,277,820		14,188,283
				14,188,283
SOFTWARE & SERVICES — 16.85%
Information Technology Services — 1.74%
Cielo S.A.		1,970,556		17,819,728
Internet Software & Services — 14.23%
a Alibaba Group Holding Ltd. ADR		406,934		43,879,693
a Baidu, Inc. ADR		170,589		29,430,014
a Facebook, Inc.		180,180		25,594,569
Tencent Holdings Ltd.		1,637,663		46,949,922
Software — 0.88%
Linx S.A.		1,705,915		9,045,611
				172,719,537
TECHNOLOGY HARDWARE & EQUIPMENT — 5.81%
Electronic Equipment, Instruments & Components — 2.28%
Hangzhou Hikvision Digital Technology Co., Ltd.		2,655,313		12,290,618
Largan Precision Co., Ltd.		70,241		11,065,403

10    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT			VALUE
Technology, Hardware, Storage & Peripherals — 3.53%
Samsung Electronics Co. Ltd.		19,658		$	36,211,643
					59,567,664
TELECOMMUNICATION SERVICES — 3.41%
Diversified Telecommunication Services — 1.63%
Bharti Infratel Ltd.		3,341,168			16,712,272
Wireless Telecommunication Services — 1.78%
China Mobile Ltd.		1,663,279			18,202,648
					34,914,920
TRANSPORTATION — 3.21%
Air Freight & Logistics — 1.32%
a ZTO Express (Cayman), Inc. ADR		1,030,136			13,484,480
Transportation Infrastructure — 1.89%
Shanghai International Air Co., Ltd.		4,466,426			19,429,388
					32,913,868
UTILITIES — 0.81%
Water Utilities — 0.81%
Cia Saneamento do Parana		2,375,196			8,345,734
					8,345,734
TOTAL COMMON STOCK (Cost $867,037,655)					982,575,938
RIGHTS — 0.00%
HEALTH CARE EQUIPMENT & SERVICES 0.00%
Health Care Providers & Services — 0.00%
Life Healthcare Group Holdings Rights		6			2
TOTAL RIGHTS (Cost $0)					2
SHORT TERM INVESTMENTS — 4.84%
c Thornburg Capital Management Fund		4,959,991			49,599,909
TOTAL SHORT TERM INVESTMENTS (Cost $49,599,909)					49,599,909
TOTAL INVESTMENTS — 100.68% (Cost $916,637,564)				$	1,032,175,849
LIABILITIES NET OF OTHER ASSETS — (0.68)%					(7,005,227	)
			��
NET ASSETS — 100.00%				$	1,025,170,622

Footnote Legend

a Non-income producing.

b Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee.

c Investment in Affiliates - Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/PRINCIPAL SEPTEMBER 30, 2016		GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/PRINCIPAL MARCH  31, 2017		MARKET VALUE MARCH  31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Thornburg Capital Management Fund		8,651,050		20,793,298		24,484,357		4,959,991	$	49,599,909	$	150,793	$	—
Total non-controlled affiliated issuers - 4.84% of net assets									$	49,599,909	$	150,793	$	—

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ADR	American Depositary Receipt
GDR	Global Depository Receipt

See notes to financial statements.

Semi-Annual Report     11

Statement of Assets and Liabilities
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $867,037,655)	$	982,575,940
Non-controlled affiliated issuer (cost $49,599,909)		49,599,909
Cash denominated in foreign currency (cost $157,364)		158,032
Receivable for investments sold		15,584,329
Receivable for fund shares sold		1,565,358
Dividends receivable		2,829,939
Dividend reclaim receivable		316,378
Prepaid expenses and other assets		75,627
Total Assets		1,052,705,512
LIABILITIES
Payable for investments purchased		10,948,512
Payable for fund shares redeemed		13,165,174
Unrealized depreciation on forward currency contracts (Note 7)		130,664
Payable to investment advisor and other affiliates (Note 4)		794,762
Deferred taxes payable (Note 2)		1,685,767
Accounts payable and accrued expenses		810,011
Total Liabilities		27,534,890
NET ASSETS	$	1,025,170,622
NET ASSETS CONSIST OF
Distribution in excess of net investment income	$	(1,731,358	)
Net unrealized appreciation on investments		113,783,428
Accumulated net realized gain (loss)		(292,717,246	)
Net capital paid in on shares of beneficial interest		1,205,835,798
	$	1,025,170,622

12     Semi-Annual Report

Statement of Assets and Liabilities, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($124,253,581 applicable to 7,296,050 shares of beneficial interest outstanding - Note 5)	$	17.03
Maximum sales charge, 4.50% of offering price		0.80
Maximum offering price per share	$	17.83
Class C Shares:
Net asset value and offering price per share* ($109,315,034 applicable to 6,730,175 shares of beneficial interest outstanding - Note 5)	$	16.24
Class I Shares:
Net asset value, offering and redemption price per share ($737,738,843 applicable to 42,569,916 shares of beneficial interest outstanding - Note 5)	$	17.33
Class R5 Shares:
Net asset value, offering and redemption price per share ($5,272,714 applicable to 305,262 shares of beneficial interest outstanding - Note 5)	$	17.27
Class R6 Shares:
Net asset value, offering and redemption price per share ($48,590,450 applicable to 2,803,418 shares of beneficial interest outstanding - Note 5)	$	17.33

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    13

Statement of Operations
Thornburg Developing World Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Dividend income
Non-affiliated issuers (net of foreign taxes withheld of $878,749)	$	6,268,213
Non-controlled affiliated issuer		150,793
Interest income (net of foreign taxes withheld of $21)		996,975
Total Income		7,415,981
EXPENSES
Investment advisory fees (Note 4)		5,130,917
Administration fees (Note 4)
Class A Shares		90,666
Class C Shares		73,122
Class I Shares		193,265
Class R5 Shares		1,446
Distribution and service fees (Note 4)
Class A Shares		180,636
Class C Shares		582,774
Transfer agent fees
Class A Shares		112,413
Class C Shares		95,754
Class I Shares		353,309
Class R5 Shares		7,792
Class R6 Shares		3,335
Registration and filing fees
Class A Shares		10,667
Class C Shares		9,156
Class I Shares		25,583
Class R5 Shares		10,036
Class R6 Shares		10,027
Custodian fees (Note 2)		449,075
Professional fees		42,128
Accounting fees (Note 4)		8,608
Trustee fees		24,560
Other expenses		126,812
Total Expenses		7,542,081
Less:
Expenses reimbursed by investment advisor (Note 4)		(254,775	)
Investment advisory fees waived by investment advisor (Note 4)		(563,034	)
Net Expenses		6,724,272
Net Investment Income	$	691,709

14     Semi-Annual Report

Statement of Operations, Continued
Thornburg Developing World Fund	Six Months Ended March 31, 2017 (Unaudited)

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Non-affiliated issuer investments (net of realized capital gain taxes paid of $752,433)	$	(33,584,325	)
Forward currency contracts (Note 7)		804,783
Foreign currency transactions		(459,422	)
		(33,238,964	)
Net change in unrealized appreciation (depreciation) on:
Non-affiliated issuer investments (net of change in deferred taxes payable of $1,018,144)		28,651,072
Forward currency contracts (Note 7)		943,248
Foreign currency translations		(1,741	)
		29,592,579
Net Realized and Unrealized Loss		(3,646,385	)
Net Decrease in Net Assets Resulting from Operations	$	(2,954,676	)

See notes to financial statements.

Semi-Annual Report    15

Statement of Changes in Net Assets

Thornburg Developing World Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	691,709		$	5,848,787
Net realized gain (loss) on investments, capital gain taxes, forward currency contracts, and foreign currency transactions		(33,238,964	)		(9,043,921	)
Net unrealized appreciation (depreciation) on investments, deferred taxes payable, forward currency contracts, and foreign currency translations		29,592,579			154,540,479
Net Increase (Decrease) in Net Assets Resulting from Operations		(2,954,676	)		151,345,345
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		—			(343,296	)
Class I Shares		(627,123	)		(4,899,868	)
Class R5 Shares		(4,503	)		(35,207	)
Class R6 Shares		(40,364	)		(276,797	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		(40,966,143	)		(61,310,070	)
Class C Shares		(23,601,274	)		(36,759,558	)
Class I Shares		(114,871,599	)		(267,526,805	)
Class R5 Shares		(944,376	)		200,879
Class R6 Shares		(275,296	)		23,520,145
Net Decrease in Net Assets		(184,285,354	)		(196,085,232	)
NET ASSETS
Beginning of Period		1,209,455,976			1,405,541,208
End of Period	$	1,025,170,622		$	1,209,455,976
Distribution in excess of net investment income	$	(1,731,358	)	$	(1,751,077	)

* Unaudited.

See notes to financial statements.

16     Semi-Annual Report

Notes to Financial Statements
Thornburg Developing World Fund	March 31, 2017

NOTE 1 – ORGANIZATION

Thornburg Developing World Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on December 16, 2009. The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation.

The Fund currently offers five classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”) and Retirement Classes (“Class R5” and “Class R6”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R6 shares are sold at net asset value without a sales charge at the time of purchase, and (v) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	916,637,564
Gross unrealized appreciation on a tax basis	$	168,081,096
Gross unrealized depreciation on a tax basis		(52,542,811	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	115,538,285

At March 31, 2017, the Fund had deferred tax basis late year specified ordinary losses occurring subsequent to December 31, 2015 through September 30, 2016 of $2,393,848. For tax purposes, such losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $55,539,592. For tax purposes, such capital losses will be recognized in the year ending September 30, 2017.

At March 31, 2017, the Fund had cumulative tax basis capital losses of $200,029,811, (of which $200,029,811 are short-term and $0 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards

18     Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Semi-Annual Report    19

Notes to Financial Statements, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

20     Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL			LEVEL 1			LEVEL 2			LEVEL  3(a)
Assets
Investments in Securities*
Common Stock(b)	$	982,575,940		$	962,769,813		$	18,885,131		$	920,996
Short Term Investments		49,599,909			49,599,909			—			—
Total Investments in Securities	$	1,032,175,849		$	1,012,369,722		$	18,885,131		$	920,996
Other Financial Instruments**
Spot Currency	$	61,060		$	61,060		$	—		$	—
Liabilities
Other Financial Instruments**
Forward Currency Contracts	$	(130,664	)	$	—		$	(130,664	)	$	—
Spot Currency	$	(4,208	)	$	(4,208	)	$	—		$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

** Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment.

(a) In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, a fair value determination was applied to a portfolio security characterized as a Level 3 investment at March 31, 2017. The valuation technique and unobservable input applied to value this portfolio security was a discount to the valuation determined by the Valuation and Pricing Committee due to a halt in trading of the security and lack of information and liquidity.

(b) At March 31, 2017, industry classifications for Common Stock in Levels 2 and 3 consist of $920,996 in Pharmaceuticals and $18,885,131 in Banks.

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2017 is as follows:

	COMMON STOCK			TOTAL(b)
Beginning Balance 9/30/2016	$	2,306,972		$	2,306,972
Accrued Discounts (Premiums)		—			—
Net Realized Gain (Loss)		—			—
Gross Purchases		—			—
Gross Sales		—			—
Net Change in Unrealized Appreciation (Depreciation)(a)		(1,385,976	)		(1,385,976	)
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Ending Balance 3/31/2017	$	920,996		$	920,996

(a) Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2017. The net change in unrealized appreciation (depreciation) attributable to securities owned at March 31, 2017, which were valued using significant unobservable inputs, was ($1,385,976).

(b) Level 3 investments represent 0.09% of total net assets at the six months ended March 31, 2017. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments.

Semi-Annual Report    21

Notes to Financial Statements, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.975	%
Next $500 million		0.925
Next $500 million		0.875
Next $500 million		0.825
Over $2 billion		0.775

The Fund’s effective management fee for the period ended March 31, 2017 was 0.944% of the Fund’s average net assets (before applicable management fee waiver of $563,034).

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $8,608 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $5,356 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,085 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Advisor or securities dealers and other financial institutions at the Advisor’s request an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A and Class C shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I, Class R5, and Class R6 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor voluntarily waived Fund level investment advisory fees of $563,034. The Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $4,474 for Class A shares, $2,360 for Class C shares, $218,479 for Class I shares, $16,100 for Class R4 shares, and $13,362 for Class R6 shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

The percentage of direct investments in the Fund held by Trustees and Officers of the Trust and the Advisor is approximately 2.95%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had no transactions with affiliated funds.

22     Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		781,150		$	12,731,767			3,308,344		$	52,192,505
Shares issued to shareholders in reinvestment of dividends		—			—			18,515			317,350
Shares repurchased		(3,300,082	)		(53,697,910	)		(7,300,644	)		(113,819,995	)
Net increase (decrease)		(2,518,932	)	$	(40,966,143	)		(3,973,785	)	$	(61,310,140	)
Class C Shares
Shares sold		297,909		$	4,610,302			1,054,538		$	15,948,557
Shares issued to shareholders in reinvestment of dividends		—			—			—			—
Shares repurchased		(1,818,546	)		(28,211,576	)		(3,507,682	)		(52,708,115	)
Net increase (decrease)		(1,520,637	)	$	(23,601,274	)		(2,453,144	)	$	(36,759,558	)
Class I Shares
Shares sold		7,814,391		$	129,741,879			23,659,769		$	375,895,310
Shares issued to shareholders in reinvestment of dividends		32,864			571,178			262,131			4,510,533
Shares repurchased		(14,761,395	)		(245,184,656	)		(41,050,094	)		(647,932,648	)
Net increase (decrease)		(6,914,140	)	$	(114,871,599	)		(17,128,194	)	$	(267,526,805	)
Class R5 Shares
Shares sold		71,344		$	1,176,414			154,398		$	2,473,042
Shares issued to shareholders in reinvestment of dividends		260			4,503			2,053			35,206
Shares repurchased		(127,289	)		(2,125,293	)		(147,926	)		(2,307,369	)
Net increase (decrease)		(55,685	)	$	(944,376	)		8,525		$	200,879
Class R6 Shares
Shares sold		370,140		$	6,119,400			2,141,556		$	34,838,084
Shares issued to shareholders in reinvestment of dividends		2,310			40,153			15,902			275,102
Shares repurchased		(386,288	)		(6,434,849	)		(720,421	)		(11,593,041	)
Net increase (decrease)		(13,838	)	$	(275,296	)		1,437,037		$	23,520,145

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $423,825,923 and $583,760,365, respectively.

NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of the FASB Accounting Standards Codification 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does

Semi-Annual Report    23

Notes to Financial Statements, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2017, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract’s counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss.

The Fund entered into forward currency contracts during the six months ended March 31, 2017 in the normal course of pursuing its investment objectives, with the objective of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign investment transactions.

These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations.

The quarterly average value of open sell currency contracts for the six months ended March 31, 2017 was $95,959,909. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.

The following table displays the outstanding forward currency contracts at March 31, 2017:

OUTSTANDING FORWARD CURRENCY CONTRACTS TO BUY OR SELL AT MARCH 31, 2017
CONTRACT DESCRIPTION	BUY/SELL	CONTRACT AMOUNT		CONTRACT VALUE DATE		VALUE USD		UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION
Chinese Yuan Renminbi	Sell		632,381,300		05/16/2017		91,713,763	$	—	$	(130,664	)
Total								$	—	$	(130,664	)
Net unrealized appreciation (depreciation)										$	(130,664	)

The outstanding forward currency contracts in the foregoing table were entered into with State Street Bank and Trust Company (“SSB”), pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement with SSB, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.

Because the ISDA Master Agreement with SSB does not result in an offset of reported amounts of financial assets and liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.

The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2017 is disclosed in the following table:

FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS AT MARCH 31, 2017
LIABILITY DERIVATIVES	BALANCE SHEET LOCATION	FAIR VALUE
Foreign exchange contracts	Liabilities - Unrealized depreciation on forward currency contracts	$(130,664)

24     Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with SSB, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at March 31, 2017 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at March 31, 2017 is $0, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $130,664. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.

The net realized gain (loss) from forward currency contracts and the net change in unrealized appreciation (depreciation) on outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2017 are disclosed in the following tables:

NET REALIZED GAIN (LOSS) ON DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL		FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$	804,783		$        804,783
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF DERIVATIVE FINANCIAL INSTRUMENTS RECOGNIZED IN INCOME FOR THE SIX MONTHS ENDED MARCH 31, 2017
	TOTAL		FORWARD CURRENCY CONTRACTS
Foreign exchange contracts	$	943,248		$        943,248

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in small- and mid-cap companies and non-U.S. issuers (including developing country issuers), credit risk, and interest rate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

Semi-Annual Report    25

Financial Highlights

    Thornburg Developing World Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																					RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING  OF PERIOD		NET INVESTMENT INCOME (LOSS)+			NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS		TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)			PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	16.98		(0.01	)		0.06			0.05			—			—		—		$	17.03		(0.14	)(e)		1.50	(e)		1.50	(e)		1.61	(e)		0.29			40.56	$	124,254
2016(c)	$	15.03		0.04			1.94			1.98			(0.03	)		—		(0.03	)	$	16.98		0.25			1.52			1.52			1.57			13.20			94.68	$	166,655
2015(c)	$	18.61		0.02			(3.58	)		(3.56	)		(0.02	)		—		(0.02	)	$	15.03		0.14			1.53			1.53			1.53			(19.12	)		96.74	$	207,282
2014(c)	$	17.77		0.03			0.81			0.84			—			—		—		$	18.61		0.15			1.45			1.45			1.45			4.73			61.46	$	459,121
2013(c)	$	15.71		0.01			2.06			2.07			(0.01	)		—		(0.01	)	$	17.77		0.05			1.48			1.48			1.59			13.19			61.67	$	347,073
2012(c)	$	12.50		(0.01	)		3.22			3.21			—			—		—		$	15.71		(0.05	)		1.69			1.69			1.85			25.68			129.49	$	39,390
CLASS C SHARES
2017(b)	$	16.26		(0.07	)		0.05			(0.02	)		—			—		—		$	16.24		(0.90	)(e)		2.26	(e)		2.26	(e)		2.36	(e)		(0.12	)		40.56	$	109,315
2016	$	14.48		(0.08	)		1.86			1.78			—			—		—		$	16.26		(0.51	)		2.29			2.29			2.34			12.29			94.68	$	134,129
2015	$	18.03		(0.09	)		(3.46	)		(3.55	)		—			—		—		$	14.48		(0.55	)		2.27			2.27			2.27			(19.69	)		96.74	$	154,943
2014	$	17.34		(0.11	)		0.80			0.69			—			—		—		$	18.03		(0.62	)		2.23			2.23			2.23			3.98			61.46	$	232,493
2013	$	15.44		(0.12	)		2.02			1.90			—			—		—		$	17.34		(0.71	)		2.26			2.26			2.40			12.31			61.67	$	106,168
2012	$	12.37		(0.11	)		3.18			3.07			—			—		—		$	15.44		(0.76	)		2.38			2.38			2.86			24.82			129.49	$	10,006
CLASS I SHARES
2017(b)	$	17.26		0.03			0.05			0.08			(0.01	)		—		(0.01	)	$	17.33		0.31	(e)		1.05	(e)		1.05	(e)		1.21	(e)		0.49			40.56	$	737,739
2016	$	15.27		0.11			1.97			2.08			(0.09	)		—		(0.09	)	$	17.26		0.70			1.07			1.07			1.16			13.68			94.68	$	853,866
2015	$	18.92		0.10			(3.65	)		(3.55	)		(0.10	)		—		(0.10	)	$	15.27		0.52			1.09			1.09			1.14			(18.75	)		96.74	$	1,016,898
2014	$	18.05		0.10			0.84			0.94			(0.07	)		—		(0.07	)	$	18.92		0.54			1.09			1.09			1.09			5.20			61.46	$	2,376,420
2013	$	15.96		0.09			2.09			2.18			(0.09	)		—		(0.09	)	$	18.05		0.52			1.04			1.04			1.22			13.74			61.67	$	828,147
2012	$	12.62		0.08			3.26			3.34			—			—		—		$	15.96		0.57			1.09			1.09			1.45			26.47			129.49	$	53,103
CLASS R5 SHARES
2017(b)	$	17.20		0.03			0.05			0.08			(0.01	)		—		(0.01	)	$	17.27		0.31	(e)		1.07	(e)		1.07	(e)		1.73	(e)		0.49			40.56	$	5,273
2016	$	15.22		0.12			1.96			2.08			(0.10	)		—		(0.10	)	$	17.20		0.74			1.08			1.08			1.75			13.65			94.68	$	6,208
2015	$	18.86		0.12			(3.65	)		(3.53	)		(0.11	)		—		(0.11	)	$	15.22		0.66			1.09			1.09			1.67			(18.72	)		96.74	$	5,363
2014	$	18.04		0.13			0.80			0.93			(0.11	)		—		(0.11	)	$	18.86		0.67			1.09			1.09			1.90			5.17			61.46	$	7,433
2013(d)	$	17.49		0.08			0.47			0.55			—			—		—		$	18.04		0.47	(e)		1.07	(e)		1.07	(e)		17.45	(e)(f)		3.14			61.67	$	697
CLASS R6 SHARES
2017(b)	$	17.25		0.04			0.05			0.09			(0.01	)		—		(0.01	)	$	17.33		0.43	(e)		0.96	(e)		0.96	(e)		1.12	(e)		0.55			40.56	$	48,590
2016	$	15.25		0.13			1.98			2.11			(0.17	)		—		(0.17	)	$	17.25		0.80			0.97			0.97			1.12			13.81			94.68	$	48,598
2015	$	18.91		0.15			(3.68	)		(3.53	)		(0.13	)		—		(0.13	)	$	15.25		0.84			0.99			0.99			1.10			(18.68	)		96.74	$	21,055
2014	$	18.08		0.11			0.84			0.95			(0.12	)		—		(0.12	)	$	18.91		0.57			0.99			0.99			1.10			5.26			61.46	$	22,727
2013(d)	$	17.51		0.04			0.53			0.57			—			—		—		$	18.08		0.20	(e)		0.98	(e)		0.98	(e)		1.99	(e)		3.26			61.67	$	14,422

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Effective date of this class of shares was February 1, 2013.

(e) Annualized.

(f) Due to the size of net assets and fixed expenses, ratios may appear disproportionate.

+ Based on weighted average shares outstanding.

See notes to financial statements.

26     Semi-Annual Report Semi-Annual Report    27

Expense Examples
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING  PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	1,002.94	$	7.48
Hypothetical*	$	1,000.00	$	1,017.46	$	7.53
CLASS C SHARES
Actual	$	1,000.00	$	998.77	$	11.24
Hypothetical*	$	1,000.00	$	1,013.68	$	11.33
CLASS I SHARES
Actual	$	1,000.00	$	1,004.89	$	5.26
Hypothetical*	$	1,000.00	$	1,019.69	$	5.29
CLASS R5 SHARES
Actual	$	1,000.00	$	1,004.87	$	5.35
Hypothetical*	$	1,000.00	$	1,019.60	$	5.39
CLASS R6 SHARES
Actual	$	1,000.00	$	1,005.47	$	4.80
Hypothetical*	$	1,000.00	$	1,020.14	$	4.84

† Expenses are equal to the annualized expense ratio for each class (A: 1.50%; C: 2.26%; I: 1.05%; R5: 1.07%; R6: 0.96%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

28    Semi-Annual Report

Other Information
Thornburg Developing World Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    29

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task—our principal obligation to you—is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

30    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report.    31

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH2148

About Thornburg Investment Management

It’s more than what we do.

It’s how we do it.

At Thornburg, we are very different in how we think, invest, and are structured. We believe this difference is what makes us successful in helping individuals reach their long-term financial goals.

How we THINK

Flexible Perspective

Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value.

Collaboration

Collectively, we hone ideas via borderless cross-pollination for better judgment and better results.

How we INVEST

Portfolio Construction

Disciplined construction guided more by our convictions than convention.

CONVICTION

Thorough analysis and our relative-value framework lead to conviction in our securities selection.

UNCONVENTIONAL

Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point.

How we’re STRUCTURED

Structured for Excellence

How we think and how we invest is made possible by how we’re structured.

TEAM APPROACH FAR FROM THE HERD ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg Better World International Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	6
Fund Summary	7
Schedule of Investments	8
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	15
Notes to Financial Statements	16
Financial Highlights	24
Expense Example	26
Other Information	27
Trustees’ Statement to Shareholders	28

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class A	TBWAX	885-216-721
Class C	TBWCX	885-216-713
Class I	TBWIX	885-216-697

Class I shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.

Investments carry risks, including possible loss of principal. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small- and mid-capitalization companies may increase the risk of greater price fluctuations. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Funds invested in a smaller number of holdings may expose an investor to greater volatility.

Semi-Annual Report    3

Letter to Shareholders

Thornburg Better World International Fund March 31, 2017 (Unaudited)

April 20, 2017

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for Thornburg Better World International Fund for the six months ended March 31, 2017. In the October-through-March period, Better World International Fund gained 0.15% (A shares without sales charge), underperforming the MSCI AC World ex-U.S. Index’s 6.51% return. That brought the since inception return to 10.89% (A shares without sales charge), versus 10.62% for the benchmark. The Fund’s investments in initial public offerings (IPOs) contributed 1.76% to performance for the six-month period. We don’t expect to consistently outperform in shorter timespans. But, we do aim to provide investors with superior returns over the long run, and believe that our investment philosophy and process provide a sound framework to add value.

Thornburg Better World International Fund seeks what we view as attractively priced stocks of quality companies that we believe have sustainable business models, compelling growth prospects and, critically, exhibit high “ESG” standards of environmental sensitivity, social responsibility and corporate governance. In our research and experience running socially responsible separate accounts for several years prior to launching our own ESG fund, we have found that companies with durable business models incorporating these values can outperform over time. The intersection of ESG and financial advantages is found in lower regulatory and legal risks, enhanced marketplace reputations, reduced operating costs and more effective capital allocation. These advantages create a positive self-reinforcing cycle to the benefit of clients, employees, and shareholders.

The first half of the period proved challenging for international equity investors amid a series of sharp market and geopolitical shifts. During the fourth quarter, the U.S. presidential election dominated headlines across the globe. Donald Trump’s surprise win quickly reverberated throughout markets, altering the landscape for both equity and fixed income investors. Although the market’s knee-jerk reaction to Trump’s triumph was decidedly negative, the skepticism was quickly replaced with enthusiasm as investors assessed the possibility of a pro-business, pro-growth agenda being implemented by a Republican-controlled U.S. government. However, geopolitical risks should continue to represent significant potential concern for investors going forward.

The Fund remained conservatively positioned during the period. We believe slow and unstable global growth combined with elevated valuations merit increased attention to protection against downside risk exposure. However, global markets generally appreciated during the period. Gains were led by financials (anticipating higher rates and less regulation), and commodity producers (inflation beneficiaries), both sectors in which Thornburg Better World International Fund has been underweight.

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.

The maximum sales charge for Class A shares is 4.50%. If the sales charge had been deducted, returns would be lower. The total annual fund operating expense of Class A shares is 7.27%, as disclosed in the most recent prospectus. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, resulting in a net expense ratio of 1.83% for Class A shares.

The first quarter of 2017 kicked off with global growth expectations having risen, albeit from a low base, and earnings expectations followed. Our conservative positioning weighed on performance during the period. The most significant detractors were our underweight in emerging market cyclicals and high cash position. During the quarter, we deployed incremental capital into some new promising sustainable businesses, particularly in industrial and materials areas. However, valuations remain elevated and hence, we remain disciplined to our long-term focused process of value creation, with less emphasis on quarterly variance.

Thornburg Better World International Fund is designed to be conservative and fare well during periods of volatility and has a downside capture ratio of 64.5% as of March 31, 2017. This is achieved through our approach to investing in companies exhibiting attractive cash flow-based valuations, strong moats, and runways for growth, as well as synergistic financial and ESG characteristics.

Commodity exposure is one particular area where our approach to the integration of ESG and financial considerations differs with many of our peers. Regulatory risk and transforming energy economics should directly affect sustainable returns on capital. Commodity producers generally have less ability to create and maintain competitive advantages. Moreover, regulation headwinds are coalescing with advancements in clean energy technology to shift asset valuations and cash-generation abilities.

While Better World International Fund is not designed specifically as a low-carbon portfolio, our ESG integration process

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

naturally results in a much lower carbon footprint than that of many of our peers. In fact, according to MSCI Fund Metrics data, our portfolio’s weighted average carbon intensity was 27% lower than the peer average as of December 31, 2016. On a portfolio level, we seek to reduce carbon cost exposure and instead focus on superior business models that have exposure to commodity prices.

Two examples illustrate this strategy of reducing factor risk with a focus on the connection between ESG and financial sustainability. Norwegian salmon producer Marine Harvest is a leader in a growing food sector niche with a strong environmental track record. As a Norwegian company, it is exposed to the oil-sensitive krone. Another example, Bureau Veritas, stands to benefit from increased environmental regulation of commodity sectors, as its leadership in testing, inspection, and certification becomes more critical for those commodity producers.

Ultimately, we believe the proactive incorporation of ESG metrics is an important lens to measure management quality, effective capital allocation, and sustainable returns. We will continue to experience bouts of market volatility and rallies and, at times, our positioning may be temporarily out of step with market sentiment. However, over the long run, we firmly believe that investing in companies with attractive valuations, synergistic financial and ESG characteristics provides a superior opportunity in which to add value for our clients.

Thank you for investing alongside us in Thornburg Better World International Fund.

Sincerely,

Rolf Kelly, CFA

Portfolio Manager

Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

Semi-Annual Report    5

Performance Summary

Thornburg Better World International Fund March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			SINCE INCEP.
Class A Shares (Incep: 9/30/15)
Without sales charge		11.91	%		10.89	%
With sales charge		6.85	%		7.55	%
Class C Shares (Incep: 9/30/15)
Without sales charge		11.34	%		10.27	%
With sales charge		10.34	%		10.27	%
Class I Shares (Incep: 9/30/15)		12.78	%		11.76	%
MSCI AC World ex-U.S. Index (Since: 9/30/15)		13.13	%		10.62	%

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Due to the Fund’s relatively small asset base in initial stages, performance was positively impacted by IPOs to a greater degree than it may be in the future. IPO investments are not an integral component of the Fund’s investment process and may not be utilized to the same extent in the future. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. The maximum sales charge for the Fund’s A shares is 4.50%. C shares are subject to a 1% contingent deferred sales charge (CDSC) for the first year only. There is no sales charge for Class I shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 7.27%; C shares, 13.13%; I shares, 2.28%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least April 10, 2018, for these share classes, resulting in net expense ratios of the following: A shares, 1.83%; C shares, 2.38%; I shares, 1.09%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

Glossary

The MSCI All Country (AC) World ex-US Index is a market capitalization weighted index representative of the market structure of 45 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim, excluding securities of United States issuers. The index is calculated with net dividends reinvested in U.S. dollars.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Upside/Downside Capture Ratio – A ratio that shows whether a given fund has outperformed—gained more or lost less than—a broad market benchmark during periods of market strength and weakness, and if so, by how much.

6    Semi-Annual Report

Fund Summary

Thornburg Better World International Fund March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks long-term capital appreciation.

The Fund invests primarily in a broad range of foreign companies that demonstrate one or more positive environmental, social, and governance (ESG) characteristics that the investment manager identifies as significant. The Fund targets companies of any size or country of origin, and which we believe are high-quality and attractively valued.

MARKET CAPITALIZATION EXPOSURE

BASKET STRUCTURE

TOP TEN EQUITY HOLDINGS

ING Groep N.V.	3.1	%
UBS Group AG	3.1	%
Tsuruha Holdings, Inc.	2.8	%
Korea Zinc Co., Ltd.	2.6	%
Cairn Homes plc	2.5	%
Taiwan Semiconductor Manufacturing Co., Ltd. ADR	2.3	%
Megacable Holdings S.A.B. de C.V.	2.3	%
Intact Financial Corp.	2.3	%
Thermo Fisher Scientific, Inc.	2.3	%
Olympus Corp.	2.2	%

There is no guarantee that the Fund will meet its investment objective.

All portfolio information is subject to change. Charts may not add up to 100% due to rounding.

* The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived.

SECTOR EXPOSURE

Financials	17.9	%
Consumer Staples	13.6	%
Consumer Discretionary	12.2	%
Health Care	8.6	%
Industrials	8.4	%
Information Technology	7.4	%
Materials	5.7	%
Telecommunication Services	4.7	%
Real Estate	3.6	%
Utilities	2.5	%
Other Assets Less Liabilities	15.4	%

TOP TEN INDUSTRY GROUPS

Food, Beverage & Tobacco	8.3	%
Diversified Financials	7.7	%
Pharmaceuticals, Biotechnology & Life Sciences	6.4	%
Materials	5.7	%
Banks	5.7	%
Software & Services	5.1	%
Consumer Durables & Apparel	5.0	%
Telecommunication Services	4.7	%
Insurance	4.5	%
Commercial & Professional Services	4.4	%

COUNTRY EXPOSURE*

(percent of equity holdings)

Japan	12.6	%
United States	8.2	%
United Kingdom	8.0	%
Switzerland	6.9	%
Canada	5.4	%
Ireland	5.3	%
Netherlands	5.1	%
Norway	4.7	%
Mexico	4.4	%
France	4.3	%
India	3.8	%
China	3.3	%
Germany	3.2	%
South Korea	3.0	%
Taiwan	2.7	%
Spain	2.7	%
Hong Kong	2.6	%
Italy	2.1	%
Philippines	1.8	%
Vietnam	1.8	%
Russia	1.8	%
Australia	1.6	%
Peru	1.4	%
Singapore	1.3	%
Brazil	1.2	%
New Zealand	0.8	%

Semi-Annual Report    7

Schedule of Investments
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 84.57%
BANKS — 5.69%
Banks — 5.69%
ICICI Bank Ltd.		159,607	$	679,254
ING Groep N.V.		96,804		1,463,343
United Overseas Bank Ltd.		34,005		537,478
				2,680,075
CAPITAL GOODS — 1.21%
Trading Companies & Distributors — 1.21%
Brenntag AG		10,166		569,909
				569,909
COMMERCIAL & PROFESSIONAL SERVICES — 4.44%
Professional Services — 4.44%
Bureau Veritas SA		33,900		715,153
Nielsen Holdings plc		19,982		825,456
RELX plc		28,169		551,982
				2,092,591
CONSUMER DURABLES & APPAREL — 4.98%
Household Durables — 4.15%
a Cairn Homes plc		753,428		1,181,522
Sony Corp.		22,835		772,448
Leisure Products — 0.83%
Shimano, Inc.		2,675		390,450
				2,344,420
CONSUMER SERVICES — 1.11%
Hotels, Restaurants & Leisure — 1.11%
Compass Group plc		27,797		524,493
				524,493
DIVERSIFIED FINANCIALS — 7.74%
Capital Markets — 4.44%
Japan Exchange Group, Inc.		44,838		638,357
UBS Group AG		90,729		1,451,990
Diversified Financial Services — 3.30%
Cerved Information Solutions S.p.A.		85,126		823,214
GT Capital Holdings, Inc.		31,980		729,788
				3,643,349
FOOD & STAPLES RETAILING — 4.31%
Food & Staples Retailing — 4.31%
a Lenta Ltd.		105,020		714,136
Tsuruha Holdings, Inc.		14,222		1,315,787
				2,029,923
FOOD, BEVERAGE & TOBACCO — 8.26%
Food Products — 8.26%
BRF SA		38,283		472,148
Marine Harvest ASA		32,419		494,240
Orkla ASA		62,361		558,520
Premium Brands Holdings Corp.		8,216		526,069
a SunOpta, Inc.		81,146		563,965
Vietnam Dairy Products JSC		113,500		714,768
Wessanen NV		41,459		559,932
				3,889,642
HEALTH CARE EQUIPMENT & SERVICES — 2.21%
Health Care Equipment & Supplies — 2.21%
Olympus Corp.		27,074		1,040,840
				1,040,840
HOUSEHOLD & PERSONAL PRODUCTS — 0.98%
Household Products — 0.98%
Lion Corp.		25,754		463,123
				463,123
INSURANCE — 4.46%
Insurance — 4.46%
AIA Group Ltd.		163,302		1,029,634
Intact Financial Corp.		15,024		1,068,519
				2,098,153

8    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
MATERIALS — 5.70%
Construction Materials — 3.12%
Cementos Pacasmayo S.A.A.		241,497	$	542,690
CRH plc		26,319		926,600
Metals & Mining — 2.58%
Korea Zinc Co., Ltd.		3,142		1,213,756
				2,683,046
MEDIA — 3.69%
Media — 3.69%
China South Publishing & Media Group Co., Ltd.		249,714		650,754
Megacable Holdings S.A.B. de C.V.		279,376		1,089,316
				1,740,070
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 6.41%
Biotechnology — 1.38%
Gilead Sciences, Inc.		9,577		650,470
Life Sciences Tools & Services — 2.26%
Thermo Fisher Scientific, Inc.		6,932		1,064,755
Pharmaceuticals — 2.77%
Novartis AG		8,166		606,142
Roche Holding AG		2,728		696,673
				3,018,040
REAL ESTATE — 3.65%
Equity Real Estate Investment Trusts — 3.65%
Empiric Student Property plc		469,084		636,202
Fibra Uno Administracion S.A. de C.V.		389,113		665,279
Merlin Properties Socimi S.A.		37,305		417,072
				1,718,553
RETAILING — 2.37%
Internet & Direct Marketing Retail — 0.66%
Trade Me Ltd.		87,046		309,905
Multiline Retail — 1.71%
Europris ASA		186,363		805,253
				1,115,158
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.32%
Semiconductors & Semiconductor Equipment — 2.32%
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		33,309		1,093,868
				1,093,868
SOFTWARE & SERVICES — 5.08%
Information Technology Services — 3.69%
MasterCard, Inc.		2,069		232,700
a PayPal Holdings, Inc.		18,982		816,606
Wirecard AG		12,432		688,321
Internet Software & Services — 1.39%
carsales.com Ltd.		76,802		654,832
				2,392,459
TELECOMMUNICATION SERVICES — 4.75%
Diversified Telecommunication Services — 4.75%
Bharti Infratel Ltd.		164,586		823,247
Nippon Telegraph & Telephone Corp.		9,625		410,833
Orange SA		64,394		1,000,550
				2,234,630
TRANSPORTATION — 2.74%
Transportation Infrastructure — 2.74%
Aena S.A.		4,090		647,064
Shanghai International Air Co., Ltd.		148,175		644,576
				1,291,640
UTILITIES — 2.47%
Electric Utilities — 1.08%
Nextera Energy, Inc.		3,950		507,061
Multi-Utilities — 1.39%
National Grid plc		51,526		654,285
				1,161,346
TOTAL COMMON STOCK (Cost $37,345,670)				39,825,328

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
SHORT TERM INVESTMENTS — 14.60%
b Thornburg Capital Management Fund		687,682	$	6,876,815
TOTAL SHORT TERM INVESTMENTS (Cost $6,876,815)				6,876,815
TOTAL INVESTMENTS — 99.17% (Cost $44,222,485)			$	46,702,143
OTHER ASSETS LESS LIABILITIES — 0.83%				389,335
NET ASSETS — 100.00%			$	47,091,478

Footnote Legend

a Non-income producing.

b Investment in Affiliates – Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/PRINCIPAL SEPTEMBER 30, 2016		GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/PRINCIPAL MARCH  31, 2017		MARKET VALUE MARCH  31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Thornburg Capital Management Fund		493,408		1,360,078		1,165,804		687,682	$	6,876,815	$	18,885	$	—
Total non-controlled affiliated issuers - 14.60% of net assets									$	6,876,815	$	18,885	$	—

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ADR American Depositary Receipt

See notes to financial statements.

10    Semi-Annual Report

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Semi-Annual Report    11

Statement of Assets and Liabilities
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $37,345,670)	$	39,825,328
Non-controlled affiliated issuer (cost $6,876,815)		6,876,815
Cash		3,044
Cash denominated in foreign currency (cost $4,939)		4,953
Receivable for investments sold		573,826
Receivable for fund shares sold		1,059,656
Dividends receivable		103,820
Dividend reclaim receivable		14,767
Prepaid expenses and other assets		32,818
Total Assets		48,495,027
LIABILITIES
Payable for investments purchased		1,330,412
Payable for fund shares redeemed		13,097
Payable to investment advisor and other affiliates (Note 4)		9,988
Deferred taxes payable (Note 2)		4,221
Accounts payable and accrued expenses		45,831
Total Liabilities		1,403,549
NET ASSETS	$	47,091,478
NET ASSETS CONSIST OF
Undistributed net investment income	$	28,002
Net unrealized appreciation on investments		2,474,608
Accumulated net realized gain (loss)		(84,370	)
Net capital paid in on shares of beneficial interest		44,673,238
	$	47,091,478

12    Semi-Annual Report

Statement of Assets and Liabilities, Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

NET ASSET VALUE
Class A Shares:
Net asset value and redemption price per share ($ 5,115,166 applicable to 389,694 shares of beneficial interest outstanding - Note 5)	$	13.13
Maximum sales charge, 4.50% of offering price		0.62
Maximum offering price per share	$	13.75
Class C Shares:
Net asset value and offering price per share* ($ 1,498,870 applicable to 114,985 shares of beneficial interest outstanding - Note 5)	$	13.04
Class I Shares:
Net asset value, offering and redemption price per share ($ 40,477,442 applicable to 3,048,929 shares of beneficial interest outstanding - Note 5)	$	13.28

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See notes to financial statements.

Semi-Annual Report    13

Statement of Operations
Thornburg Better World International Fund	Six Months Ended March 31, 2017

INVESTMENT INCOME
Dividend income
Non-affiliated issuers (net of foreign taxes withheld of $19,712)	$	286,544
Non-controlled affiliated issuer		18,885
Total Income		305,429
EXPENSES
Investment advisory fees (Note 4)		179,533
Administration fees (Note 4)
Class A Shares		2,467
Class C Shares		679
Class I Shares		7,948
Distribution and service fees (Note 4)
Class A Shares		4,957
Class C Shares		5,454
Transfer agent fees
Class A Shares		13,823
Class C Shares		1,182
Class I Shares		5,269
Registration and filing fees
Class A Shares		12,691
Class C Shares		12,691
Class I Shares		12,823
Custodian fees (Note 2)		47,310
Professional fees		17,907
Accounting fees (Note 4)		393
Trustee fees		454
Other expenses		31,044
Total Expenses		356,625
Less:
Expenses reimbursed by investment advisor (Note 4)		(53,609	)
Investment advisory fees waived by investment advisor (Note 4)		(129,312	)
Net Expenses		173,704
Net Investment Income		131,725
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Non-affiliated issuer investments (net of realized capital gain taxes paid of $6,647)		49,156
Foreign currency transactions		(8,077	)
		41,079
Net change in unrealized appreciation (depreciation) on:
Non-affiliated issuer investments (net of change in deferred taxes payable of $1,742)		490,076
Foreign currency translations		(631	)
		489,445
Net Realized and Unrealized Gain		530,524
Net Increase in Net Assets Resulting from Operations	$	662,249

See notes to financial statements.

14    Semi-Annual Report

Statements of Changes in Net Assets

Thornburg Better World International Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016**
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	131,725		$	137,184
Net realized gain (loss) on investments, capital gain taxes, and foreign currency transactions		41,079			1,582,461
Net unrealized appreciation (depreciation) on investments, deferred taxes payable, and foreign currency translations		489,445			1,985,163
Net Increase (Decrease) in Net Assets Resulting from Operations		662,249			3,704,808
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class A Shares		(5,961	)		(7,285	)
Class C Shares		—			(3,171	)
Class I Shares		(83,128	)		(123,062	)
From realized gains
Class A Shares		(177,797	)		—
Class C Shares		(45,820	)		—
Class I Shares		(1,502,645	)		—
FUND SHARE TRANSACTIONS (NOTE 5)
Class A Shares		3,537,592			1,518,080
Class C Shares		701,215			753,057
Class I Shares		13,736,982			24,426,364
Net Increase in Net Assets		16,822,687			30,268,791
NET ASSETS
Beginning of Period		30,268,791			—
End of Period	$	47,091,478		$	30,268,791
Undistributed (distribution in excess of) net investment income	$	28,002		$	(14,634	)

* Unaudited.

** The Fund commenced operations on October 1, 2015.

See notes to financial statements.

Semi-Annual Report    15

Notes to Financial Statements
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg Better World International Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on October 1, 2015. The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation.

The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

16    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	44,222,485
Gross unrealized appreciation on a tax basis	$	3,089,157
Gross unrealized depreciation on a tax basis		(609,499	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	2,479,658

At March 31, 2017, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2015 through September 30, 2016 of $17,380. For tax purposes, such capital losses will be recognized in the year ending September 30, 2017.

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

18    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities*
Common Stock	$	39,825,328	$	39,825,328	$	—	$	—
Short Term Investments		6,876,815		6,876,815		—		—
Total Investments in Securities	$	46,702,143	$	46,702,143	$	—	$	—
Liabilities
Other Financial Instruments**
Spot Currency	$	1,943	$	1,943	$	—	$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

** Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment.

Semi-Annual Report    19

Notes to Financial Statements, Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		0.975	%
Next $500 million		0.925
Next $500 million		0.875
Next $500 million		0.825
Over $2 billion		0.775

The Fund’s effective management fee for the period ended March 31, 2017 was 0.975% of the Fund’s average net assets (before applicable management fee waiver of $129,312).

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017 the Fund paid $393 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the six months ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2017, the Distributor has advised the Fund that it earned net commissions aggregating $3,730 from the sale of Class A shares of the Fund, and collected deferred sales charges aggregating $46 from redemptions of Class C shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may pay to the Distributor or securities dealers and other financial institutions at the Distributor’s direction an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to Class A and Class C shares of the Fund to obtain various shareholder and distribution related services. For the six months ended March 31, 2017, there were no 12b-1 service plan fees charged for Class I shares. The Advisor and Distributor each may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.

The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to 75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the six months ended March 31, 2017, are set forth in the Statement of Operations

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before April 10, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the six months ended March 31, 2017, the Advisor voluntarily waived Fund level investment advisory fees of $129,312. The Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $15,279 for Class A shares, $12,291 for Class C shares, and $26,039 for Class I shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

20    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

The percentage of direct investments in the Fund held by the Trustees and Officers of the Trust and the Advisor is approximately 39.25%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had no transactions with affiliated funds.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)*
	SHARES			AMOUNT			SHARES			AMOUNT
Class A Shares
Shares sold		275,892		$	3,627,966			132,207		$	1,665,516
Shares issued to shareholders in reinvestment of dividends		14,253			177,164			515			7,141
Shares repurchased		(20,645	)		(267,538	)		(12,528	)		(154,577	)
Net increase (decrease)		269,500		$	3,537,592			120,194		$	1,518,080
Class C Shares
Shares sold		53,499		$	678,262			59,567		$	752,758
Shares issued to shareholders in reinvestment of dividends		3,716			45,820			230			3,171
Shares repurchased		(1,812	)		(22,867	)		(215	)		(2,872	)
Net increase (decrease)		55,403		$	701,215			59,582		$	753,057
Class I Shares
Shares sold		1,013,433		$	13,170,618			1,992,451		$	24,462,178
Shares issued to shareholders in reinvestment of dividends		114,721			1,439,781			6,180			86,279
Shares repurchased		(68,601	)		(873,417	)		(9,255	)		(122,093	)
Net increase (decrease)		1,059,553		$	13,736,982			1,989,376		$	24,426,364

* The Fund commenced operations on October 1, 2015.

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $30,079,148 and $15,851,934, respectively.

NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.

During the six months ended March 31, 2017, the Fund did not invest in any derivative financial instruments of the type addressed by ASC 815.

Semi-Annual Report    21

Notes to Financial Statements, Continued
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in small- and mid-cap companies and non-U.S. issuers (including developing country issuers), credit risk, social investing risk, real estate investment trusts, and interest rate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

22    Semi-Annual Report

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Semi-Annual Report    23

Financial Highlights

    Thornburg Better World International Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																	RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+			NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS	DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS	TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD	NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)	PORTFOLIO TURNOVER RATE (%)(a)	NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS A SHARES
2017(b)(c)	$	13.86		—	(d)		(0.03	)	(0.03)		(0.02	)	(0.69)		(0.71	)	$13.13		(0.03	)(g)		1.74	(g)		1.74	(g)		3.21	(g)	0.15	50.72	$	5,115
2016(c)(e)	$	11.94		0.03			2.04		2.07		(0.15	)	—		(0.15	)	$13.86		0.21			1.83			1.83			7.27	(f)	16.60	180.60	$	1,666
CLASS C SHARES
2017(b)	$	13.79		(0.03	)		(0.03	)	(0.06)		—		(0.69)		(0.69	)	$13.04		(0.44	)(g)		2.22	(g)		2.22	(g)		5.18	(f)(g)	(0.11)	50.72	$	1,499
2016(e)	$	11.94		(0.05	)		2.04		1.99		(0.14	)	—		(0.14	)	$13.79		(0.40	)		2.38			2.38			13.13	(f)	15.94	180.60	$	822
CLASS I SHARES
2017(b)	$	13.96		0.06			(0.02	)	0.04		(0.03	)	(0.69)		(0.72	)	$13.28		0.85	(g)		0.80	(g)		0.80	(g)		1.67	(g)	0.62	50.72	$	40,477
2016(e)	$	11.94		0.10			2.01		2.11		(0.09	)	—		(0.09	)	$13.96		0.76			1.09			1.09			2.28		17.44	180.60	$	27,781

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Sales loads are not reflected in computing total return.

(d) Net investment income (loss) is less than 0.01%. (e) Fund commenced operations on October 1, 2015.

(f) Due to the size of net assets and fixed expenses, ratios may appear disproportionate.

(g) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

24    Semi-Annual Report Semi-Annual Report    25

Expense Example
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur two types of costs:

(1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;

(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING  PERIOD† 10/1/16–3/31/17
CLASS A SHARES
Actual	$	1,000.00	$	1,001.54	$	8.67
Hypothetical*	$	1,000.00	$	1,016.26	$	8.74
CLASS C SHARES
Actual	$	1,000.00	$	998.88	$	11.05
Hypothetical*	$	1,000.00	$	1,013.87	$	11.14
CLASS I SHARES
Actual	$	1,000.00	$	1,006.20	$	4.01
Hypothetical*	$	1,000.00	$	1,020.94	$	4.03

† Expenses are equal to the annualized expense ratio for each class (A: 1.74%; C: 2.22%; I: 0.80%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

26    Semi-Annual Report

Other Information
Thornburg Better World International Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg. com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

No proxy voting information is currently available because the Fund commenced operations on October 1, 2015. The Fund expects to begin making annual proxy voting information available in accordance with applicable regulations commencing on or before August 31, 2016. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    27

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

28    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

Semi-Annual Report    29

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30    Semi-Annual Report

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Semi-Annual Report    31

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH3645

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2    Semi-Annual Report

Semi-Annual Report

Thornburg Capital Management Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	5
Schedule of Investments	6
Statement of Assets and Liabilities	8
Statement of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	16
Expense Example	18
Other Information	19
Trustees’ Statement to Shareholders	20

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class I	N/A		885-216-739

Semi-Annual Report    3

Letter to Shareholders

Thornburg Capital Management Fund March 31, 2017 (Unaudited)

April 12, 2017

Dear Shareholder:

Thornburg Capital Management Fund (TCMF) was started on July 31, 2015, with the goal of providing superior risk exposures for cash management across the Thornburg family of funds with higher returns and lower costs. Through March 31, 2017, we have generally invested approximately $891 million of Thornburg Investment Trust cash in what we view as high-quality, short-term instruments. With the custodian of the Thornburg Investment Trust funds charging 20 basis points (0.20%) for large cash balances, the annualized distribution yield from the portfolio of 81 basis points (0.81%) represents a significant pick-up in return.

As a reminder to all shareholders, by combining the cash balances of all eligible Thornburg Investment Trust portfolios into a single pool, we seek to reduce the costs of investing and significantly diversify and reduce risk exposures in any given portfolio. While individual transaction costs appear low (ticketing costs are $6.00 and an additional $6.00 for every maturity), these costs would add up quickly for any Thornburg Fund that maintained its own portfolio of overnight securities. Duplicate trades in different portfolios incur separate charges, and with 11 different eligible portfolios, the multiplier effect on costs would be significant. The creation and the continued management of the Thornburg Capital Management Fund helps illustrate our long-standing culture of efficient capital stewardship, benefiting all eligible portfolios through reduced transaction costs and more efficient management.

All of the Fund’s investments are rated A-1+, A-1, or A-2 by Standard & Poor’s. As of March 31, 2017, 47.9% of the portfolio was invested in instruments with maturities of three days or less. The weighted average maturity of the portfolio, ex-cash was 8.4 days. Microsoft Corp. currently represents our largest single exposure outside of supranationals or U.S. government entities. At the end of the period, this exposure represented 1.80% of the portfolio. Keep in mind that at the investing fund level, this is 1.80% of the cash equivalent position. As an example, if cash equivalents in the investing fund sat at 10%, the investing fund’s Microsoft position would be 0.18%. As we generally expect to have a large pool of assets, we have the ability to purchase a large number of different issues and still expect to have a vast cost advantage versus splitting investments amongst portfolios.

The above figures should give investors a picture of what we believe is a very high-quality, very short-term, very liquid portfolio that is intended to avoid undue fees and provides a notable return over the custodian’s negative 20 basis point (0.20%) penalty rate. We continue to believe that this structure is a significant improvement over a fragmented, costly, less-diversified outcome of investing the cash of each fund separately, and should be a benefit to all of the participating portfolios of Thornburg Investment Trust.

Sincerely,

Jason Brady, CFA	Lon R. Erickson, CFA	Jeff Klingelhofer, CFA
Portfolio Manager	Portfolio Manager	Portfolio Manager
CEO, President, and Managing Director	Managing Director	Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

4    Semi-Annual Report

Performance Summary

Thornburg Capital Management Fund March 31, 2017

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			SINCE INCEP.
I Shares (Incep: 7/31/15)		0.56	%		0.48	%
Citigroup One-Month Treasury Bill Index (Since: 7/31/15)		0.27	%		0.20	%

30-DAY YIELDS

SEC Yield	0.82	%
Annualized Distribution Yield	0.81	%

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, call 800-847-0200. There is no sales charge for class I shares.

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

Fund Summary

Glossary

Citigroup One-Month Treasury Bill Index – Measures monthly return equivalents of yield averages that are not marked to market. The One-Month Treasury Bill Index consists of the last one-month Treasury bill issue.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.

Basis Point (bp) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).

SEC Yield – SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.

Short-Term Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Short-term obligation ratings of A-1 (the highest), A-2 and A-3 are investment-grade quality. Ratings of B, C and D (the lowest) are considered below investment grade, speculative grade, or junk bonds.

Semi-Annual Report    5

Schedule of Investments
Thornburg Capital Management Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
SHORT TERM INVESTMENTS — 99.98%
Ameren Corp., 1.08%, 4/3/2017	$	12,000,000	$	11,999,280
a Anthem, Inc., 1.22%, 4/17/2017		14,000,000		13,992,409
Arizona Public Service Co., 1.02%, 4/3/2017		12,000,000		11,999,320
a Autozone, Inc., 1.10%, 4/3/2017		13,000,000		12,999,206
a B. A. T. International Finance, 1.17%, 4/4/2017		4,900,000		4,899,522
a B. A. T. International Finance, 1.21%, 4/11/2017		5,500,000		5,498,151
a B. A. T. International Finance, 1.25%, 4/19/2017		1,600,000		1,599,000
Bank of New York Tri-Party Repurchase Agreement 1.11% dated 3/31/2017 due 4/3/2017, repurchase price $35,003,238 collateralized by 29 corporate debt securities, having an average coupon of 3.83%, a minimum credit rating of BBB-, maturity dates from 4/3/2017 to 8/8/2056, and having an aggregate market value of $37,301,704 at 3/31/2017		35,000,000		35,000,000
a Basf Aktiengesellsch, 0.76%, 4/3/2017		13,000,000		12,999,451
a Brown-Forman Corp., 0.95%, 4/17/2017		10,000,000		9,995,778
a Campbell Soup Co., 0.98%, 4/3/2017		7,200,000		7,199,608
a Campbell Soup Co., 1.09%, 4/27/2017		4,800,000		4,796,221
a Canadian National Railway, 0.92%, 4/18/2017		5,000,000		4,997,828
a Canadian National Railway, 0.92%, 4/27/2017		7,000,000		6,995,349
a CBS Corp., 1.15%, 4/27/2017		14,000,000		13,988,372
a CenterPoint Energy, Inc., 1.11%, 4/3/2017		12,000,000		11,999,260
a Church & Dwight Co., Inc., 1.07%, 4/3/2017		13,000,000		12,999,227
a Cintas Corp., 1.07%, 4/3/2017		5,000,000		4,999,703
a Cintas Corp., 1.12%, 4/12/2017		7,000,000		6,997,604
a Colgate-Palmolive Co., 0.79%, 4/10/2017		13,000,000		12,997,432
a Consolidated Edison, Inc., 1.06%, 4/6/2017		12,000,000		11,998,233
a CVS Corp., 1.12%, 4/11/2017		12,000,000		11,996,267
a Dollar General Corp., 1.13%, 4/11/2017		13,000,000		12,995,808
a Edison International, 1.05%, 4/3/2017		12,000,000		11,999,300
a Equifax, Inc., 1.12%, 4/10/2017		6,200,000		6,198,264
a Experian Finance plc, 1.12%, 4/24/2017		10,000,000		9,992,844
Farmer Mac Discount Note, 0.50%, 4/3/2017		30,000,000		29,999,167
Farmer Mac Discount Note, 0.72%, 4/18/2017		4,900,000		4,898,334
Federal Home Loan Discount Note, 0.535%, 4/3/2017		21,000,000		20,999,376
Federal Home Loan Discount Note, 0.65%, 4/5/2017		1,200,000		1,199,913
Federal Home Loan Discount Note, 0.715%, 4/17/2017		11,000,000		10,996,504
a Hasbro, Inc., 1.10%, 4/3/2017		6,090,000		6,089,628
a Illinois Tool Works, Inc., 0.82%, 4/3/2017		12,000,000		11,999,453
a Intercontinental Exchange, Inc., 0.87%, 4/7/2017		7,000,000		6,998,985
b International Bank for Reconstruction & Development Discount Note, 0.55%, 4/3/2017		28,100,000		28,099,141
b International Bank for Reconstruction & Development Discount Note, 0.76%, 4/17/2017		15,000,000		14,994,933
b International Bank for Reconstruction & Development Discount Note, 0.76%, 4/18/2017		4,000,000		3,998,564
a Kansas City Power & Light Co., 1.10%, 4/3/2017		13,000,000		12,999,206
a KCP&L Greater Missouri Operations Co., 1.15%, 4/13/2017		1,000,000		999,617
a Kentucky Utilities Co., 1.13%, 4/3/2017		10,000,000		9,999,372
a Kentucky Utilities Co., 1.13%, 4/7/2017		3,000,000		2,999,435
a Kroger Co., 1.10%, 4/3/2017		12,000,000		11,999,267
a L’oreal USA, Inc., 0.77%, 4/10/2017		7,835,000		7,833,492
a L’oreal USA, Inc., 0.83%, 4/12/2017		6,165,000		6,163,436
a Louisville Gas & Electric Co., 1.13%, 4/3/2017		5,000,000		4,999,686
a Marriott International, Inc., 1.10%, 4/3/2017		14,000,000		13,999,144
Mattel, Inc., 1.12%, 4/19/2017		13,000,000		12,992,720
a McCormick & Co., 1.04%, 4/6/2017		12,000,000		11,998,267
a Merck & Co., Inc., 0.81%, 4/12/2017		14,000,000		13,996,535
a Microsoft Corp., 0.75%, 4/12/2017		16,000,000		15,996,333
a NextEra Energy, Inc., 1.17%, 4/19/2017		10,000,000		9,994,150
Northern Illinois Gas Co., 1.00%, 4/3/2017		13,000,000		12,999,278
a Novartis Finance Corp., 0.74%, 4/10/2017		5,500,000		5,498,982
a Novartis Finance Corp., 0.84%, 4/24/2017		7,500,000		7,495,975
a Oglethorpe Power Corp., 0.95%, 4/17/2017		11,149,000		11,144,293
a PepsiCo, Inc., 0.80%, 4/10/2017		5,000,000		4,999,000
a PG&E Corp., 0.96%, 4/3/2017		13,000,000		12,999,307
a Pinnacle West Capital Corp., 1.10%, 4/3/2017		13,000,000		12,999,206
Potomac Electric Power Co., 1.09%, 4/3/2017		13,000,000		12,999,213
a PPL Corp., 1.22%, 4/5/2017		4,000,000		3,999,458
a PPL Corp., 1.20%, 4/10/2017		6,600,000		6,598,020
a PPL Corp., 1.18%, 4/11/2017		1,400,000		1,399,541
Praxair, Inc., 0.79%, 4/17/2017		13,000,000		12,995,436

6    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Capital Management Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
a Reckitt Benckiser Co., 0.95%, 4/3/2017	$	12,000,000	$	11,999,367
a Roche Holding, Inc., 0.72%, 4/5/2017		10,200,000		10,199,184
a Rockwell Automation, Inc., 1.00%, 4/13/2017		13,000,000		12,995,667
a San Diego Gas & Electric Co., 0.87%, 4/3/2017		12,000,000		11,999,420
a Siemens Capital Co. LLC, 0.88%, 4/27/2017		12,000,000		11,992,373
Sonoco Products Co., 1.05%, 4/3/2017		13,000,000		12,999,242
South Carolina Electric & Gas, 1.00%, 4/4/2017		4,000,000		3,999,667
a Southern Co. Gas, 1.13%, 4/3/2017		13,000,000		12,999,184
a Southwestern Public Service Co., 1.08%, 4/3/2017		13,000,000		12,999,220
a Spectra Energy Corp., 1.17%, 4/4/2017		12,000,000		11,998,830
a Sysco Corp., 1.13%, 4/3/2017		13,000,000		12,999,184
a The Home Depot, 0.78%, 4/5/2017		12,000,000		11,998,960
a The Stanley Works Co., 1.05%, 4/17/2017		5,600,000		5,597,387
a The Western Union Co., 1.10%, 4/4/2017		13,000,000		12,998,808
a Tyco Electronics Group S.A., 1.13%, 4/4/2017		12,000,000		11,998,870
a Tyson Foods, Inc., 1.25%, 4/27/2017		5,500,000		5,495,035
Union Electric Co., 1.10%, 4/3/2017		13,000,000		12,999,206
United States Treasury Bill, 0.66%, 4/6/2017		22,000,000		21,997,983
United States Treasury Bill, 0.716%, 4/20/2017		11,000,000		10,995,846
a Wal-Mart Stores, Inc., 0.76%, 4/10/2017		12,000,000		11,997,720
TOTAL SHORT TERM INVESTMENTS (Cost $890,766,957)				890,766,957
TOTAL INVESTMENTS — 99.98% (Cost $890,766,957)			$	890,766,957
OTHER ASSETS LESS LIABILITIES — 0.02%				148,643
NET ASSETS — 100.00%			$	890,915,600

Footnote Legend

a Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2017, the aggregate value of these securities in the Fund’s portfolio was $601,603,834, representing 67.53% of the Fund’s net assets.

b Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations.

See notes to financial statements.

Semi-Annual Report    7

Statement of Assets and Liabilities
Thornburg Capital Management Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (cost $890,766,957) (Note 3)	$	890,766,957
Cash		189,511
Interest receivable		1,079
Prepaid expenses and other assets		3,471
Total Assets		890,961,018
LIABILITIES
Accounts payable and accrued expenses		45,336
Dividends payable		82
Total Liabilities		45,418
NET ASSETS	$	890,915,600
NET ASSETS CONSIST OF
Undistributed net investment income	$	23,695
Net capital paid in on shares of beneficial interest		890,891,905
	$	890,915,600
NET ASSET VALUE
Class I Shares:
Net asset value and redemption price per share ($890,915,600 applicable to 89,091,560 shares of beneficial interest outstanding - Note 5)	$	10.00

See notes to financial statements.

8    Semi-Annual Report

Statement of Operations
Thornburg Capital Management Fund	Six Months Ended March 31, 2017 (Unaudited)

INVESTMENT INCOME
Interest income	$	3,340,275
EXPENSES
Transfer agent fees		1,456
Custodian fees (Note 2)		91,435
Professional fees		26,440
Accounting fees (Note 4)		22,910
Trustee fees		14,100
Other expenses		19,684
Total Expenses		176,025
Net Investment Income	$	3,164,250

See notes to financial statements.

Semi-Annual Report    9

Statements of Changes in Net Assets

Thornburg Capital Management Fund

	SIX MONTHS ENDED MARCH 31, 2017*			YEAR ENDED SEPTEMBER 30, 2016
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income	$	3,164,250		$	7,036,117
Net Increase (Decrease) in Net Assets Resulting from Operations		3,164,250			7,036,117
DIVIDENDS TO SHAREHOLDERS
From net investment income
Class I Shares		(3,164,250	)		(7,036,117	)
FUND SHARE TRANSACTIONS (NOTE 5)
Class I Shares		(502,620,654	)		(379,323,866	)
Net Decrease in Net Assets		(502,620,654	)		(379,323,866	)
NET ASSETS
Beginning of Period		1,393,536,254			1,772,860,120
End of Period	$	890,915,600		$	1,393,536,254
Undistributed net investment income	$	23,695		$	23,695

* Unaudited.

See notes to financial statements.

10    Semi-Annual Report

Notes to Financial Statements
Thornburg Capital Management Fund	March 31, 2017 (Unaudited)

NOTE 1 – ORGANIZATION

Thornburg Capital Management Fund (the “Fund”) is a non-diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to seek current income consistent with liquidity management and safety of capital.

The Fund currently offers one class of shares of beneficial interest: Institutional Class (“Class I”). This class of shares of the Fund represents all interest in the portfolio of investments. Class I shares are sold at net asset value without a sales charge at the time of purchase. All expenses are allocated to the class including transfer agent fees, government registration fees, printing and postage costs, and legal expenses.

Shares of the Fund are issued solely in private placement transactions that do not involve any “public offering” within the meaning of Section (4)2 of the 1933 Act. Investments in the Fund may only be made by investment companies, or other persons that are “accredited investors” within the meaning of Regulation D under the 1933 Act. Currently, the Fund’s shares are only sold to certain other series of the Trust.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income and any realized and unrealized gains and losses are allocated daily to each outstanding share of the Fund at the beginning of the day (after adjusting for the current capital shares activity of the Fund). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund

Semi-Annual Report    11

Notes to Financial Statements, Continued
Thornburg Capital Management Fund	March 31, 2017 (Unaudited)

makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	890,766,957
Net unrealized appreciation (depreciation) on investments (tax basis)	$	0

There is no unrealized gain (loss) in the Fund at March 31, 2017 due to all securities with less than 60 days to maturity being valued by the amortized cost method.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee. The Committee is authorized by the Audit Committee to calculate values of commercial paper having a remaining maturity of 60 days or less using amortized cost, subject to regular confirmation of those calculated values using procedures approved by the Audit Committee.

12    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Capital Management Fund	March 31, 2017 (Unaudited)

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets
Investments in Securities
Short Term Investments	$	890,766,957	$	—	$	890,766,957	$	—
Total Investments in Securities	$	890,766,957	$	—	$	890,766,957	$	—

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2017.

Semi-Annual Report    13

Notes to Financial Statements, Continued
Thornburg Capital Management Fund	March 31, 2017 (Unaudited)

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund. The Fund does not pay an advisory fee to the Advisor under this agreement.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the six months ended March 31, 2017, the Fund paid $22,910 to the Advisor for these accounting services. The Advisor provides certain administrative services to the Fund. No fees are charged for those services.

The Fund may sell securities to an affiliated fund or the Fund may purchase securities held by an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended March 31, 2017, the Fund had no transactions with affiliated funds.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	SIX MONTHS ENDED						YEAR ENDED
	MARCH 31, 2017 (UNAUDITED)						SEPTEMBER 30, 2016 (AUDITED)
	SHARES			AMOUNT			SHARES			AMOUNT
Class I Shares
Shares sold		421,239,646		$	4,212,396,457			1,098,287,670		$	10,982,876,709
Shares issued to shareholders in reinvestment of dividends		316,425			3,164,250			703,612			7,036,117
Shares repurchased		(471,818,136	)		(4,718,181,361	)		(1,136,923,669	)		(11,369,236,692	)
Net increase (decrease)		(50,262,065	)	$	(502,620,654	)		(37,932,387	)	$	(379,323,866	)

NOTE 6 – INVESTMENT TRANSACTIONS

For the six months ended March 31, 2017, the Fund had no purchase and sale transactions of investments other than short-term investments.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, foreign investment risk, diversification risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

14    Semi-Annual Report

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Semi-Annual Report    15

Financial Highlights

    Thornburg Capital Management Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																					RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+			NET REALIZED & UNREALIZED GAIN(LOSS) ON INVESTMENTS			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS FROM NET INVESTMENT INCOME			DIVIDENDS FROM NET REALIZED GAINS		TOTAL DIVIDENDS			NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)		PORTFOLIO TURNOVER RATE (%)(a)			NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS I SHARES
2017(b)	$	10.00		0.03			—			0.03			(0.03	)		—		(0.03	)	$	10.00		0.62	(i)		0.03	(i)		0.03	(i)		0.03	(i)		0.31		—	(c)	$	890,916
2016	$	10.00		0.05			—			0.05			(0.05	)		—		(0.05	)	$	10.00		0.45			0.03			0.03			0.03			0.45		—	(c)	$	1,393,536
2015(d)	$	10.00		—	(e)		—	(f)		—	(g)		—	(h)		—		—		$	10.00		0.26	(i)		0.03	(i)		0.03	(i)		0.03	(i)		0.04		—	(c)	$	1,772,860

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Portfolio turnover rate equals zero due to no long term investment transactions in the period.

(d) Fund commenced operations on July 31, 2015.

(e) Net investment income (loss) was less than $0.01 per share.

(f) Net realized and unrealized gain (loss) on investments was less than $0.01 per share.

(g) Net investment income (loss) was less than $0.01 per share.

(h) Dividends from net investment income per share were less than $(0.01).

(i) Annualized.

+ Based on weighted average shares outstanding.

See notes to financial statements.

16    Semi-Annual Report Semi-Annual Report     17

Expense Example
Thornburg Capital Management Fund	March 31, 2017 (Unaudited)

As a shareholder of the Fund, you incur ongoing costs of investing in the Fund. Because the Fund does not pay any management fee or distribution and/or service (12b-1) fee, the Fund’s ongoing costs are comprised of other Fund expenses. Shareholders of the Fund do not incur any transaction costs.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
Actual	$	1,000.00	$	1,003.14	$	0.17
Hypothetical*	$	1,000.00	$	1,024.76	$	0.17

† Expenses are equal to the annualized expense ratio of the Fund (I: 0.03%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs and therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds which may impose transactional costs. Shareholders of the Fund do not incur transactional costs such as sales charges (loads), redemption fees, or exchange fees.

18    Semi-Annual Report

Other Information
Thornburg Capital Management Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg. com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    19

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

20    Semi-Annual Report

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH3478

About Thornburg Investment Management

It’s more than what we do. It’s how we do it.

At Thornburg, we are very different in how we think, invest, and are structured. We believe this difference is what makes us successful in helping individuals reach their long-term financial goals.

How we THINK

Flexible Perspective

Our perspective on investment opportunities is more flexible than most, viewing a wide range of opportunities beyond conventional boundaries to find hidden value.

Collaboration

Collectively, we hone ideas via borderless cross-pollination for better judgment and better results.

How we INVEST

Portfolio Construction

Disciplined construction guided more by our convictions than convention.

CONVICTION

Thorough analysis and our relative-value framework lead to conviction in our securities selection.

UNCONVENTIONAL

Active management means we seek the best value for our clients rather than using conventional benchmarks as our starting point.

How we’re STRUCTURED

Structured for Excellence

How we think and how we invest is made possible by how we’re structured.

TEAM APPROACH FAR FROM THE HERD ACCESS & TRANSPARENCY

2    Semi-Annual Report

Semi-Annual Report

Thornburg Long/Short Equity Fund

March 31, 2017

Table of Contents
Letter to Shareholders	4
Performance Summary	7
Fund Summary	8
Schedule of Investments	9
Statement of Assets and Liabilities	14
Statement of Operations	15
Statement of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	24
Expense Example	26
Other Information	27
Trustees’ Statement to Shareholders	28

SHARE CLASS	NASDAQ SYMBOL	CUSIP
Class I	THLSX	885-216-689

Investments carry risks, including possible loss of principal. Additional risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks.

Investments in small- and mid-capitalization companies may increase the risk of greater price fluctuations. A short position will lose value as the security’s price increases. Theoretically, the loss on a short sale can be unlimited. Investments in derivatives are subject to the risks associated with the securities or other assets underlying the pool of securities, including illiquidity and difficulty in valuation. Non-diversified funds can be more volatile than diversified funds. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Semi-Annual Report    3

Letter to Shareholders

Thornburg Long/Short Equity Fund March 31, 2017 (Unaudited)

April 25, 2017

Dear Fellow Shareholder:

The newest addition to our fund family, Thornburg Long/ Short Equity Fund, was launched on December 30, 2016. The Fund is a conversion of a private hedge fund Thornburg has successfully managed since 2008.

This new Fund applies the same active, focused strategy used in the former hedge fund and leverages the entire Thornburg investment team in the search for long and short investment ideas.

As we mark the new Fund’s first full quarter of performance, we’d like to take this opportunity to both report on portfolio returns while offering more context on the distinct approach we take to pursue our goals in this liquid alternative strategy. References below to the Fund’s performance or portfolio exposures for periods prior to December 30, 2016, are to the performance or exposures of the predecessor hedge fund.

The Fund returned 4.61% (Class I) for the first quarter, compared to a 6.07% increase for the S&P 500 Index. The Morningstar Long/Short Category, returned just 2.91%.

Long and Short Exposure

During the semi-annual period, the Fund averaged gross long exposure of 106% and gross short exposure of 75%, resulting in 31% net long exposure across the portfolio. In our view, a reasonable benchmark for the Fund’s performance is an adjusted S&P 500 Index, which takes the Fund’s average net exposure and multiplies it by the S&P 500 Index return, resulting in a 1.94% return for the benchmark for the quarter. While the S&P 500 Index is the Fund’s benchmark, we would consider our return relative to the adjusted index as a more reasonable measure of our value added each period. For this quarter, our contribution is significant, as our 4.61% return well outpaced the 1.94% return of the adjusted index.

Per Morningstar, our competitors (in their Long/Short Equity category) on average maintain 88% gross long and 33% gross short exposures, with an average net long exposure of 59%. During the period, we maintained a higher total gross exposure (gross long + gross short) but much lower net exposure (31%) compared to category peers. Our relatively lower net exposure, we believe, has provided better downside protection in volatile and downward trending markets. While higher net exposures can boost performance in up markets, it can also contribute to higher beta and greater correlation, which would undercut some of the primary reasons investors use long/short strategies.

With the benefit of good stock selection both on the long and short sides of the portfolio, Fund returns have remained competitive with broad equity indices, despite eight consecutive years of rising equity markets. Our goal is to keep pace with broad equity indices over a full market cycle with significantly lower volatility. We generally seek to maintain a net long exposure of 30%-50% to aid in managing the Fund’s share price volatility. We aim to use active stock selection to bridge the gap between returns generated by our beta (we expect 0.3–0.5x the equity index return) and the overall market return over the long term. Should we see a significant pull back in the broad markets, we believe our low net exposure should significantly aid our returns relative to both the benchmark and our Morningstar peers.

During the most recent quarter, the Fund’s long book contributed to absolute return, while the short book detracted. On a relative basis, our long book well outperformed the S&P 500 Index, while our short book marginally underperformed (i.e., the total return of our short book was slightly higher than the index return for the quarter). This is a reversal of our results over the last three years where our long equities have lagged but our shorts have generated significant alpha. When we short securities, we are first focused on generating alpha, and second on providing a hedge (i.e., to mitigate factor risks that can arise from our bottom-up fundamental stock selection).

A Word about Our Baskets

To construct our portfolio, we employ a six-basket approach (three baskets on the long side and three baskets on the short side), which we believe diversifies both the long and short books among select and distinctly different companies.

On the long side, the Fund seeks positions in investments that we believe will grow over time, and which we believe are trading below their long-term value. We categorize long equity positions in three baskets:

• Growth Industry Leaders: Firms with top positions in growing markets.

• Consistent Growers: Companies that generally exhibit steady earnings or revenue growth, or both.

• Emerging Growth Companies: Names that are addressing a new market or carving out a niche in an existing one.

In considering short book opportunities, we look for companies we believe are overvalued (or to hedge against the Fund’s long exposures). Here too, we apply a three-basket portfolio construct:

• Cycle Victims: Cyclical companies that could be facing deteriorating industry dynamics or risks specific to the company or industry.

• Stumbling Stalwarts: Firms that once exhibited steady earnings or revenue growth, but we expect to decline due to technological changes, weakening business economics, or other factors.

• Falling Stars: Fast-growing businesses with premium valuations that we expect to decline because of approaching market saturation, increasing competition, or other factors.

4    Semi-Annual Report

Letter to Shareholders,
Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

Top Contributors

Long Book

Grand Canyon Education, Inc.

Grand Canyon Education, Inc. provides brick and mortar and online education services, offering graduate and undergraduate degree programs. We continue to view Grand Canyon as an underappreciated quality holding with a differentiated model within the troubled for-profit education space. Recent results suggested an acceleration in online new enrollments driven in part by investment in brand advertising. We have trimmed our position in Grand Canyon somewhat since quarter end, as the stock began to approach our target price.

Activision Blizzard, Inc.

Activision Blizzard, Inc. is a videogame studio. As game console capabilities improve, fewer companies can make the upfront investments required to fund new game development. Activision’s entertainment network has nearly 500 million monthly active users in 196 countries. As more game players are connected to each other and the company during game play, revenue monetization opportunities are proliferating.

Facebook, Inc.

Facebook, Inc. is the leading global social network. “Old” and new Facebook applications remain relevant with their customers as users and engagement increase on the Facebook platform, while “newer” Facebook-owned platforms, such as Instagram, Messenger and WhatsApp, grow users at a faster pace. As advertising dollars move online from traditional forms of media, Facebook stands to gain greater share of global advertising spend.

Ardagh Group S.A.

Ardagh Group S.A. is a packaging company focused on metal and glass packaging for the food and beverage industry. The company made its equity market debut during the quarter with a successful initial public offering.

Netflix, Inc.

Netflix, Inc. is the leading subscription video-on-demand streaming company in the world. After selling shares as we approached a price target in late 2015/early 2016, value investing patriarch Ben Graham’s iconic “Mr. Market” gave us the chance to repurchase the stock in August of 2016 at a lower price following a mixed earnings report. While the share price of Netflix moves around a lot, our calculation of the intrinsic value of the business isn’t nearly as volatile. We have taken advantage of the volatility of the share price to add value for Fund investors since our initial purchase in early 2014.

Short Book

None of our top five contributors were short positions during the quarter.

Top Detractors

Long Book

Marin Software, Inc.

Marin Software, Inc. was a long-time holding of the Fund. Marin is an independent provider of software to help customers measure and manage their online advertising spend. Marin has struggled over the years to consolidate internally developed and acquired software platforms to help clients manage spend on search, display, and social. We had long believed that an independent (NOT Google or Facebook), reasonably priced tool would be of value to advertisers and that the $8 billion of annualized advertising spend flowing through their platform each year was worth much more than Marin’s market implied Enterprise Value. A CEO shakeup, very weak revenue guidance and fundamental deterioration for 2017 led us to sell this investment—in the end, a disappointing long-term holding for the Fund.

Short Book

Oriflame Holdings AG

Oriflame Holdings AG is a Swedish company that sells cosmetics directly to consumers in Europe, Asia, Latin America and Africa. Recently, the company has been able to grow sales in new regions despite continued declines in its sales force across its core Eastern European markets. The stock appreciated on this potential new growth driver compensating for declines in traditional business areas.

Advanced Micro Devices

Advanced Micro Devices shares increased during the quarter on anticipation that AMD will successfully gain market share from Intel and Nvidia through new product launches. While we trimmed our short position during the quarter for risk management purposes, we continue to believe that AMD has under-invested in research and development (R&D) compared to rivals and that current valuation levels factor in a sharp improvement in AMD’s market share, which we believe will prove elusive.

Mixi Inc.

Mixi’s key mobile game franchise, Monster Strike, showed signs of stability in the quarter after slowing in 2016. The stock appreciated on the potential extension of revenues from this game.

Arista Networks

Arista Networks is a software-driven cloud networking company. Shares increased during the quarter due to a better-than-expected earnings report. Our short thesis on Arista has been predicated on a slowdown in revenue growth driven by white-box cannibalization, increased competition, and legal disruptions. We trimmed this position during the quarter for risk management purposes.

Semi-Annual Report    5

Letter to Shareholders,
Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

Select Long Positions Added this Quarter

Palo Alto Networks

Palo Alto Networks is a leading network-security company. We believe network security is increasingly important to companies all over the world and that Palo Alto has a strong competitive advantage in supplying these services. The stock traded lower as sales growth and forecasts have missed expectations recently. We believe this is in part due to the transition of their revenue model from up-front license fees to subscriptions. Stock weakness gave us an opportunity to add this fast-growing company to the Emerging Growth basket of our long portfolio during the quarter.

Kose Corp.

Kose Corp. is a leading Japanese cosmetics company. We are excited about their consistent market share gains in their home market. We also believe their fast-growing U.S. cosmetics brand, Tarte, is underappreciated.

Akorn, Inc.

Akorn, Inc. is a niche pharmaceutical company with specialized manufacturing and R&D capabilities in alternative dosage forms including injectables and opthalmics. Akorn is less levered than peers and competes in less competitive, hard-to-manufacture spaces, which results in higher margins. Shortly after purchase, AKRX received FDA clearance on their injectable manufacturing facility in Lake Charles, IL, removing a significant overhang by providing the company a long runway to grow revenues from their development pipeline.

Conclusion

We are pleased with the results of our new fund’s inaugural quarter, yet the portfolio is designed to truly shine over a longer, full market cycle. And for the eight-plus years history of its predecessor fund, we saw this happen. Now available to the general public, the Fund has an exciting opportunity to offer our distinct fundamental, bottom-up approach to the long/short space to a wider range of investors—ideally adding alpha to a diversified portfolio while seeking less volatility than the overall market.

Thank you for your trust and confidence.

Sincerely,

Connor Browne, CFA

Portfolio Manager

Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

The views expressed are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.

6    Semi-Annual Report

Performance Summary
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS

	1-YR			3-YR			5-YR			SINCE INCEP. (2/1/08)
Class I Shares		12.18	%		4.51	%		8.49	%		6.77	%
S&P 500 Index		17.17	%		10.37	%		13.30	%		8.40	%

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Due to the Fund’s relatively small asset base in initial stages, performance was positively impacted by IPOs to a greater degree than it may be in the future. IPO investments are not an integral component of the Fund’s investment process and may not be utilized to the same extent in the future. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. There is no sales charge for Class I shares.

As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: I shares, 3.01%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2018, for some of the share classes, resulting in net expense ratios of the following: I shares, 2.74%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.

Performance prior to 12/30/2016 is from the predecessor fund, which was managed in a materially equivalent manner to the Thornburg Long/Short Equity Fund. The predecessor fund was not a registered mutual fund and was not subject to the same investment restrictions as the Long/Short Equity Fund. If the predecessor fund had been registered under the 1940 Act, the performance may have been different.

Glossary

The S&P 500 Index is an unmanaged broad measure of the U.S. stock market.

The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Alpha – A measure of the difference between a portfolio’s actual returns and its expected performance, given its level of risk as measured by beta. A positive alpha figure indicates the portfolio performed better than its beta would predict. In contrast, a negative alpha indicates under-performance, given the expectations established by the beta.

Beta – A measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.

Morningstar Long/Short Equity Category – Long/short portfolios hold sizeable stakes in both long and short positions in equities, exchange traded funds, and related derivatives. At least 75% of the assets are in equity securities or derivatives, and funds in the category will typically have beta values to relevant benchmarks of between 0.3 and 0.8 over a three-year period.

Semi-Annual Report    7

Fund Summary
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

OBJECTIVES AND STRATEGIES

The Fund seeks long-term capital appreciation. There is no guarantee that the Fund will meet its objective.

The Fund pursues its investment goal by investing a significant amount of its assets in long and short positions in a broad range of equity securities. While the Fund normally expects to invest a larger portion of its portfolio in long positions than short positions, the Fund expects to invest a significant portion of its assets in short positions.

SECTOR ALLOCATION

Health Care	9.1	%
Consumer Discretionary	8.5	%
Consumer Staples	5.1	%
Information Technology	4.3	%
Financials	4.1	%
Energy	3.4	%
Utilities	0.1	%
Real Estate	-0.3	%
Telecommunication Services	-0.4	%
Industrials	-1.2	%
Materials	-2.2	%
Miscellaneous	0.0	%

PORTFOLIO EXPOSURE

	1Q17			4Q16
Gross Long		106.3	%		110.9	%
Gross Short		-75.6	%		-79.5	%
Net Equity		30.7	%		30.7	%

ASSETS BY GEOGRAPHY

	LONG			SHORT
United States		96.7	%		-61.9	%
Ex-U.S.		9.6	%		-13.7	%

There is no guarantee that the Fund will meet its investment objectives.

All portfolio information is subject to change.

Thornburg adjusts the characteristics of certain derivatives to, in our investment team’s opinion, more accurately reflect their market exposure.

TOP TEN LONG HOLDINGS

Grand Canyon Education, Inc.	9.2	%
Gilead Sciences, Inc.	5.4	%
Facebook, Inc.	5.1	%
Wal-Mart Stores, Inc.	4.9	%
Activision Blizzard, Inc.	4.7	%
Alphabet, Inc.	4.3	%
Netflix, Inc.	4.3	%
Medtronic plc	4.1	%
Amazon.com, Inc.	4.0	%
Assured Guaranty Ltd.	3.9	%

8    Semi-Annual Report

Schedule of Investments
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT		VALUE
COMMON STOCK — 102.74%
CAPITAL GOODS — 1.95%
Machinery — 1.95%
c Allison Transmission Holdings, Inc.		26,123	$	941,995
				941,995
COMMERCIAL & PROFESSIONAL SERVICES — 1.74%
Commercial Services & Supplies — 1.74%
Covanta Holding Corp.		53,583		841,253
				841,253
CONSUMER DURABLES & APPAREL — 4.80%
Household Durables — 2.83%
a,c TRI Pointe Homes, Inc.		109,235		1,369,807
Leisure Products — 1.97%
c Callaway Golf Co.		85,927		951,212
				2,321,019
CONSUMER SERVICES — 10.80%
Diversified Consumer Services — 10.80%
a,c Grand Canyon Education, Inc.		62,187		4,453,211
a Nord Anglia Education, Inc.		30,449		771,578
				5,224,789
DIVERSIFIED FINANCIALS — 8.94%
Capital Markets — 5.65%
Apollo Global Management, LLC		48,300		1,174,656
Oaktree Capital Group, LLC		34,400		1,558,320
Mortgage Real Estate Investment Trusts — 3.29%
c PennyMac Mortgage Investment Trust		89,701		1,592,193
				4,325,169
ENERGY — 3.16%
Oil, Gas & Consumable Fuels — 3.16%
Devon Energy Corp.		15,600		650,832
Teekay LNG Partners LP		50,100		879,255
				1,530,087
FOOD & STAPLES RETAILING — 4.86%
Food & Staples Retailing — 4.86%
c Wal-Mart Stores, Inc.		32,602		2,349,952
				2,349,952
FOOD, BEVERAGE & TOBACCO — 2.02%
Food Products — 2.02%
c The Kraft Heinz Co.		10,790		979,840
				979,840
HEALTH CARE EQUIPMENT & SERVICES — 6.43%
Health Care Equipment & Supplies — 4.58%
a Avinger, Inc.		112,831		214,379
Medtronic plc		24,848		2,001,755
Health Care Providers & Services — 1.85%
a Envision Healthcare Corp.		14,586		894,413
				3,110,547
HOUSEHOLD & PERSONAL PRODUCTS — 2.19%
Personal Products — 2.19%
KOSE Corp.		11,700		1,058,286
				1,058,286
INSURANCE — 3.86%
Insurance — 3.86%
c Assured Guaranty Ltd.		50,370		1,869,231
				1,869,231
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 13.29%
Biotechnology — 7.38%
c Gilead Sciences, Inc.		38,687		2,627,621
a,c Seattle Genetics, Inc.		15,007		943,340

Semi-Annual Report    9

Schedule of Investments, Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT			VALUE
Pharmaceuticals — 5.91%
a,c Akorn, Inc.		57,300		$	1,379,784
c Phibro Animal Health Corp.		52,807			1,483,877
					6,434,622
REAL ESTATE — 1.73%
Equity Real Estate Investment Trusts — 1.73%
Fibra Uno Administracion S.A. de C.V.		490,800			839,136
					839,136
RETAILING — 12.61%
Internet & Direct Marketing Retail — 11.62%
a,c Amazon.com, Inc.		2,206			1,955,707
c Expedia, Inc.		12,452			1,571,069
a,c Netflix, Inc.		14,190			2,097,424
Specialty Retail — 0.99%
Office Depot, Inc.		102,300			477,230
					6,101,430
SOFTWARE & SERVICES — 15.48%
Information Technology Services — 1.30%
a Cognizant Tech Solutions Corp.		10,551			627,995
Internet Software & Services — 9.44%
a,c Alphabet, Inc. Class C		2,531			2,099,616
a,c Facebook, Inc.		17,400			2,471,670
Software — 4.74%
c Activision Blizzard, Inc.		45,989			2,293,012
					7,492,293
TECHNOLOGY HARDWARE & EQUIPMENT — 7.12%
Communications Equipment — 7.12%
a ARRIS International plc		28,824			762,395
Nokia Oyj		152,640			819,067
a Palo Alto Networks, Inc.		8,187			922,511
a,c ViaSat, Inc.		14,800			944,536
					3,448,509
TELECOMMUNICATION SERVICES — 1.77%
Diversified Telecommunication Services — 1.77%
a Level 3 Communications, Inc.		14,934			854,523
					854,523
TOTAL COMMON STOCK (Cost $39,280,109)					49,722,681
COMMON STOCK SOLD SHORT — (75.69)%
AUTOMOBILES & COMPONENTS — (2.48)%
Auto Components — (2.48)%
The Goodyear Tire & Rubber Co.		(33,341	)		(1,200,276	)
					(1,200,276	)
BANKS — (4.05)%
Banks — (2.03)%
Westamerica Bancorporation		(17,600	)		(982,608	)
Thrifts & Mortgage Finance — (2.02)%
a Bofi Holding, Inc.		(37,502	)		(979,927	)
					(1,962,535	)
CAPITAL GOODS — (5.02)%
Construction & Engineering — (1.00)%
EMCOR Group, Inc.		(7,725	)		(486,289	)
Machinery — (1.97)%
KONE Oyj		(21,731	)		(954,197	)
Trading Companies & Distributors — (2.05)%
W.W. Grainger, Inc.		(4,256	)		(990,626	)
					(2,431,112	)
CONSUMER DURABLES & APPAREL — (4.10)%
Household Durables — (4.10)%
Tupperware Brands Corp.		(18,484	)		(1,159,316	)

10    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT			VALUE
Garmin Ltd.		(16,100	)	$	(822,871	)
					(1,982,187	)
CONSUMER SERVICES — (4.03)%
Hotels, Restaurants & Leisure — (4.03)%
Sonic Corp.		(38,366	)		(972,962	)
Darden Restaurants, Inc.		(11,700	)		(978,939	)
					(1,951,901	)
DIVERSIFIED FINANCIALS — (6.60)%
Capital Markets — (4.34)%
FactSet Research Systems, Inc.		(6,099	)		(1,005,786	)
Financial Engines, Inc.		(25,150	)		(1,095,283	)
Consumer Finance — (2.26)%
a Credit Acceptance Corp.		(5,471	)		(1,090,972	)
					(3,192,041	)
FOOD & STAPLES RETAILING — (1.95)%
Food & Staples Retailing — (1.95)%
Colruyt SA		(19,202	)		(942,705	)
					(942,705	)
HEALTH CARE EQUIPMENT & SERVICES — (6.61)%
Health Care Equipment & Supplies — (4.64)%
ResMed, Inc.		(16,314	)		(1,174,118	)
a Haemonetics Corp.		(26,375	)		(1,070,034	)
Health Care Providers & Services — (1.97)%
a Select Medical Holdings Corp.		(71,400	)		(953,190	)
					(3,197,342	)
HOUSEHOLD & PERSONAL PRODUCTS — (2.10)%
Personal Products — (2.10)%
Oriflame Holding AG		(25,443	)		(1,018,214	)
					(1,018,214	)
MATERIALS — (2.25)%
Chemicals — (2.25)%
Orica Ltd.		(80,955	)		(1,088,553	)
					(1,088,553	)
MEDIA — (2.30)%
Media — (2.30)%
a E.W. Scripps Co.		(47,500	)		(1,113,400	)
					(1,113,400	)
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — (4.18)%
Biotechnology — (2.25)%
a Myriad Genetics, Inc.		(56,615	)		(1,087,008	)
Life Sciences Tools & Services — (1.93)%
a PAREXEL International Corp.		(14,812	)		(934,785	)
					(2,021,793	)
REAL ESTATE — (2.12)%
Equity Real Estate Investment Trusts — (2.12)%
Extra Space Storage, Inc.		(13,794	)		(1,026,136	)
					(1,026,136	)
RETAILING — (6.95)%
Internet & Direct Marketing Retail — (1.96)%
PetMed Express, Inc.		(47,100	)		(948,594	)
Specialty Retail — (4.99)%
The Children’s Place, Inc.		(10,013	)		(1,202,061	)
a Dufry AG		(7,949	)		(1,211,019	)
					(3,361,674	)
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — (2.63)%
Semiconductors & Semiconductor Equipment — (2.63)%
a Advanced Micro Devices, Inc.		(87,390	)		(1,271,525	)
					(1,271,525	)

Semi-Annual Report    11

Schedule of Investments, Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

	SHARES/ PRINCIPAL AMOUNT			VALUE
SOFTWARE & SERVICES — (11.77)%
Information Technology Services — (2.05)%
Paychex, Inc.		(16,820	)	$	(990,698	)
Internet Software & Services — (2.90)%
mixi, Inc.		(29,200	)		(1,405,838	)
Software — (6.82)%
a Ellie Mae, Inc.		(11,921	)		(1,195,319	)
Fair Isaac Corp.		(8,620	)		(1,111,549	)
Microsoft Corp.		(15,100	)		(994,486	)
					(5,697,890	)
TECHNOLOGY HARDWARE & EQUIPMENT — (4.34)%
Communications Equipment — (4.34)%
ADTRAN, Inc.		(45,400	)		(942,050	)
a Arista Networks, Inc.		(8,765	)		(1,159,347	)
					(2,101,397	)
TELECOMMUNICATION SERVICES — (2.21)%
Diversified Telecommunication Services — (2.21)%
Cogent Communications Holdings, Inc.		(24,839	)		(1,069,319	)
					(1,069,319	)
TOTAL COMMON STOCK SOLD SHORT (Proceeds $32,908,249)					(36,630,000	)
PREFERRED STOCK — 1.38%
BANKS — 1.38%
Banks — 1.38%
GMAC Capital Trust I Pfd, 8.125%		26,238			667,232
TOTAL PREFERRED STOCK (Cost $623,152)					667,232
EXCHANGE-TRADED FUNDS SOLD SHORT — (0.77)%
a Direxion Daily Developed Markets Bear 3X		(550	)		(10,648	)
a Direxion Daily Emerging Markets Bear 3X		(4,595	)		(79,723	)
a Direxion Daily Energy Bear 3X		(2,677	)		(30,438	)
a Direxion Daily Financial Bear 3X		(3,601	)		(69,679	)
a Direxion Daily S&P 500 Bear 3X		(1,330	)		(12,050	)
a Direxion Daily Semiconductors Bear 3X		(332	)		(2,477	)
a Direxion Daily Small Cap Bear 3X		(255	)		(4,600	)
a iPath S&P 500 VIX Short-Term Futures ETN		(7,340	)		(115,899	)
a ProShares UltraPro Short MidCap400		(2,550	)		(37,714	)
a ProShares UltraPro Short QQQ		(221	)		(8,188	)
TOTAL EXCHANGE-TRADED FUNDS SOLD SHORT (Proceeds $5,530,028)					(371,416	)
SHORT TERM INVESTMENTS — 39.30%
b Thornburg Capital Management Fund		1,901,874			19,018,736
TOTAL SHORT TERM INVESTMENTS (Cost $19,018,736)					19,018,736
TOTAL INVESTMENTS — 66.96% (Cost $20,483,720)				$	32,407,233
OTHER ASSETS LESS LIABILITIES — 33.04%					15,988,924
NET ASSETS — 100.00%				$	48,396,157

12    Semi-Annual Report

Schedule of Investments, Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

Footnote Legend

a Non-income producing.

b Investment in Affiliates – Shown below are holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:

ISSUER	SHARES/PRINCIPAL SEPTEMBER 30, 2016			GROSS ADDITIONS		GROSS REDUCTIONS		SHARES/PRINCIPAL MARCH  31, 2017		MARKET VALUE MARCH  31, 2017		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Thornburg Capital Management Fund		—	*		3,692,496		1,790,622		1,901,874	$	19,018,736	$	45,171	$	—
Total non-controlled affiliated issuers - 39.30% of net assets										$	19,018,736	$	45,171	$	—

* The Fund commenced operations on December 30, 2016.

c All or a portion of the security is pledged as collateral for securities sold short. At March 31, 2017, the value of securities pledged was $27,109,848. An additional $15,946,811 in cash has been segregated for collateral on securities sold short.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

Pfd Preferred Stock

See notes to financial statements.

Semi-Annual Report    13

Statement of Assets and Liabilities
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

ASSETS
Investments at value (Note 3)
Non-affiliated issuers (cost $39,903,261)	$	50,389,913
Non-controlled affiliated issuer (cost $19,018,736)		19,018,736
Cash segregated as collateral on securities sold short		15,946,811
Receivable for investments sold		183,058
Dividends receivable		73,666
Dividend and interest reclaim receivable		263
Prepaid expenses and other assets		32,644
Total Assets		85,645,091
LIABILITIES
Securities sold short (proceeds $38,438,277)		37,001,416
Payable for investments purchased		137,776
Payable to investment advisor and other affiliates (Note 4)		20,261
Payable for short sale financing		32,313
Dividends payable for short sales		57,168
Total Liabilities		37,248,934
NET ASSETS	$	48,396,157
NET ASSETS CONSIST OF
Undistributed net investment income	$	10,469,312
Net unrealized appreciation on investments		11,923,565
Accumulated net realized gain (loss)		198,697
Net capital paid in on shares of beneficial interest		25,804,583
	$	48,396,157
NET ASSET VALUE
Class I Shares:
Net asset value, offering and redemption price per share ($48,396,157 applicable to 4,635,217 shares of beneficial interest outstanding - Note 5)	$	10.44

See notes to financial statements.

14    Semi-Annual Report

Statement of Operations
Thornburg Long/Short Equity Fund	Period Ended March 31, 2017*

INVESTMENT INCOME
Dividend income
Non-affiliated issuers (net of foreign taxes withheld of $ 495)	$	180,611
Non-controlled affiliated issuer		45,171
Total		225,782
EXPENSES
Investment advisory fees (Note 4)		152,282
Administration fees (Note 4)
Class I Shares		6,091
Transfer agent fees
Class I Shares		2,760
Registration and filing fees
Class I Shares		8,850
Dividend expense on securities sold short		164,542
Short sale financing fees		116,792
Custodian fees (Note 2)		14,720
Professional fees		75,150
Accounting fees (Note 4)		184
Trustee fees		460
Other expenses		7,719
Total Expenses		549,550
Less:
Expenses reimbursed by investment advisor (Note 4)		(82,914	)
Net Expenses		466,636
Net Investment Loss		(240,854	)
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Non-affiliated issuer investments		(990,020	)
Foreign currency transactions		22,156
		(967,864	)
Net change in unrealized appreciation (depreciation) on:
Non-affiliated issuer investments		3,242,394
Foreign currency translations		52
		3,242,446
Net Realized and Unrealized Gain		2,274,582
Net Increase in Net Assets Resulting from Operations	$	2,033,728

* For the unaudited period from commencement of operations on December 30, 2016 through March 31, 2017.

See notes to financial statements.

Semi-Annual Report    15

Statement of Changes in Net Assets

Thornburg Long/Short Equity Fund

	PERIOD ENDED MARCH 31, 2017*
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net investment income (loss)	$	(240,854	)
Net realized gain (loss) on investments and foreign currency transactions		(967,864	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		3,242,446
Net Increase (Decrease) in Net Assets Resulting from Operations		2,033,728
FUND SHARE TRANSACTIONS (NOTE 5)
Class I Shares		(263,309	)
Net Increase in Net Assets		1,770,419
NET ASSETS
Beginning of Period		46,625,738
End of Period	$	48,396,157
Undistributed net investment income	$	10,469,312

* For the unaudited period from commencement of operations on December 30, 2016 through March 31, 2017.

See notes to financial statements.

16    Semi-Annual Report

Notes to Financial Statements
Thornburg Long/Short Equity Fund	March 31, 2017

NOTE 1 – ORGANIZATION

Thornburg Long/Short Equity Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on December 30, 2016. The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation.

Effective December 30, 2016, the assets of Thornburg Partners Fund, L.P., a private investment vehicle for which Thornburg Investment Management, Inc. served as general partner and investment advisor (the “Partnership”), were transferred to the Fund, in exchange for which the Fund delivered to the Partnership Class I shares of beneficial interest of the Fund, and assumed certain liabilities of the Partnership. The net assets that the Fund received from the Partnership in the transaction had a value of $46,625,738 at the time of the transaction. The Partnership received 4,662,559 Class I shares of the Fund, each with a NAV per share of $10.00. Those Class I shares were distributed in pro rata amounts to the partners of the Partnership, and the Partnership was subsequently dissolved. The investment policies and restrictions of the Fund are in all material respects equivalent to those of the Partnership, except that the Partnership was not registered as an investment company under the Investment Company Act of 1940 and was not, therefore, subject to certain investment restrictions, diversification requirements, and other restrictions imposed on registered investment companies by the 1940 Act or the Internal Revenue Code of 1986. The Fund’s portfolio management team is the same as the Partnership’s portfolio management team.

The Fund currently offers one class of shares of beneficial interest: Class I. This class of shares of the Fund represents all interest in the portfolio of investments. Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee. All expenses are allocated to the class including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.

Allocation of Income, Gains, Losses and Expenses: Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.

Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.

Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Interest Income on the Statement of Operations.

Custodian Fees: Custodian fees disclosed in the Statement of Operations may include interest expenses incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on any such cash overdraft at a rate equal to 2.50% of the overdraft amount in excess of $50,000.

Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.

Semi-Annual Report    17

Notes to Financial Statements, Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

Short Sales: A short sale involves the sale by the Fund of a security that the Fund does not own. The Fund borrows the security that it intends to sell from a broker or other institution, and at a later date the Fund completes the short sale by purchasing that same security on the open market and delivering it to the lending institution. The Fund is generally required to pay the lender amounts equal to any dividend or interest which accrues on the borrowed security during the period of the loan. The Fund may also be required to pay a premium, fee, or other amount to the lender in exchange for borrowing the security. When it enters into a short sale, the Fund seeks to profit on a decline in the price of the security between the date the Fund borrows the security and the date the Fund purchases the security to deliver it to the lender. If, however, the price of the security increases between those dates, or if the price of the security declines by an amount which is not sufficient to cover the expenses of borrowing the security, the Fund will experience a loss.

Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/ or retention of the collateral may be subject to legal proceedings.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio investments consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Fund makes a commitment to purchase an investment on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio investments to be purchased will be segregated on the Fund’s records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation (depreciation) from investments.

Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.

Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.

Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.

The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed its tax positions taken on Federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the financial statements.

18    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

At March 31, 2017, information on the tax components of capital was as follows:

Cost of investments for tax purposes	$	20,483,720
Gross unrealized appreciation on a tax basis	$	17,980,204
Gross unrealized depreciation on a tax basis		(6,056,691	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	11,923,513

Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.

Deferred Foreign Capital Gain Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.

NOTE 3 – SECURITY VALUATION

Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.

The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor ( the “Advisor”) to assist the Trustees in obtaining market values for portfolio investments, evaluate and monitor professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market

Semi-Annual Report     19

Notes to Financial Statements, Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.

Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.

Valuation Hierarchy: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.

Various inputs are used in calculating valuations for the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Committee’s own assumptions in calculating the fair values of investments).

Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.

On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.

In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.

Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2017. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:

20    Semi-Annual Report

Notes to Financial Statements, Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

	FAIR VALUE MEASUREMENTS AT MARCH 31, 2017
	TOTAL			LEVEL 1			LEVEL 2		LEVEL 3
Assets
Investments in Securities*
Common Stock	$	49,722,681		$	49,722,681		$	—	$	—
Preferred Stock		667,232			667,232
Short Term Investments		19,018,736			19,018,736			—		—
Total Investments in Securities	$	69,408,649		$	69,408,649		$	—	$	—
Liabilities
Investments in Securities Sold Short*
Common Stock	$	(36,630,000	)	$	(36,630,000	)	$	—	$	—
Exchange–Traded Funds		(371,416	)		(371,416	)
Total Investments in Securities	$	(37,001,416	)	$	(37,001,416	)	$	—	$	—

* See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P).

In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the period ended March 31, 2017, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.

NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. Under the investment advisory agreement, the Fund pays the Advisor a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

Management Fee Schedule

DAILY NET ASSETS	FEE RATE
Up to $500 million		1.250	%
Next $500 million		1.200
Next $1 billion		1.150
Over $2 billion		1.100

The Fund’s effective management fee for the period ended March 31, 2017 was 1.25% of the Fund’s average net assets.

The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the period ended March 31, 2017, the Fund paid $184 to the Advisor for these accounting services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares. Total administrative service fees incurred by each class of shares of the Fund for the period ended March 31, 2017, are set forth in the Statement of Operations.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”), an affiliate of the Advisor, which acts as the distributor of the Fund’s shares.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2018, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor may recoup amounts waived or reimbursed during the fiscal year if actual expenses fall below the contractual limit during that year.

For the period ended March 31, 2017, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $82,914 for Class I shares.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

Semi-Annual Report     21

Notes to Financial Statements, Continued
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

The percentage of direct investments in the Fund held by the Trustees and Officers of the Trust and the Advisor is approximately 69.03%.

The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the period ended March 31, 2017, the Fund had no transactions with affiliated funds.

NOTE 5 – SHARES OF BENEFICIAL INTEREST

At March 31, 2017, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	PERIOD ENDED MARCH 31, 2017 (UNAUDITED)*
	SHARES			AMOUNT
Class I Shares
Shares sold		137,371		$	1,403,735
Shares issued to shareholders in reinvestment of dividends		—			—
Shares repurchased		(164,728	)		(1,667,044	)
Net increase (decrease)		(27,357	)	$	(263,309	)

* The Fund commenced operations on December 30, 2016.

NOTE 6 – INVESTMENT TRANSACTIONS

For the period ended March 31, 2017, the Fund had purchase and sale transactions of investments (excluding short-term investments and securities transferred from the Partnership) of $18,208,987 and $20,772,624, respectively.

NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK

The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.

During the period ended March 31, 2017, the Fund did not invest in any derivative financial instruments of the type addressed by ASC 815.

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in small- and mid-cap companies and non-U.S. issuers (including developing country issuers), short sale risk, diversification risk, derivatives risk, credit risk, and interest rate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2017 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

22    Semi-Annual Report

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Semi-Annual Report    23

Financial Highlights

    Thornburg Long/Short Equity Fund

	PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)																	RATIOS TO AVERAGE NET ASSETS												SUPPLEMENTAL DATA
UNLESS OTHERWISE NOTED, PERIODS ARE FISCAL YEARS ENDED SEPT. 30,	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)+			NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS		TOTAL FROM INVESTMENT OPERATIONS		DIVIDENDS FROM NET INVESTMENT INCOME		DIVIDENDS FROM NET REALIZED GAINS		TOTAL DIVIDENDS		NET ASSET VALUE END OF PERIOD		NET INVESTMENT INCOME (LOSS) (%)			EXPENSES, AFTER EXPENSE REDUCTIONS (%)			EXPENSES, AFTER EXPENSE REDUCTIONS AND NET OF CUSTODY CREDITS (%)			EXPENSES, BEFORE EXPENSE REDUCTIONS (%)			TOTAL RETURN (%)(a)		PORTFOLIO TURNOVER RATE (%)(a)		NET ASSETS AT END OF PERIOD (THOUSANDS)
CLASS I SHARES
2017(b)(c)	$	10.00		(0.05	)		0.49		0.44		—		—		—	$	10.44		(1.98	)(d)		1.50	(d)		1.50	(d)		4.49	(d)(e)		4.40		20.13	$	48,396

(a) Not annualized for periods less than one year.

(b) Unaudited Six Month Period Ended March 31.

(c) Fund commenced operations on December 30, 2016.

(d) Annualized.

(e) The Fund incurs certain expenses and fees in connection with investments in short positions. If such expenses and fees had not occurred, the Expenses Before Expense Reductions ratio would have been 2.18%.

+ Based on weighted average shares outstanding.

See notes to financial statements.

24    Semi-Annual Report Semi-Annual Report    25

Expense Example
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2016, and held until March 31, 2017.

	BEGINNING ACCOUNT  VALUE 10/1/16		ENDING ACCOUNT VALUE 3/31/17		EXPENSES PAID DURING PERIOD† 10/1/16–3/31/17
CLASS I SHARES
Actual	$	1,000.00	$	1,044.00	$	7.64
Hypothetical*	$	1,000.00	$	1,017.45	$	7.54

† Expenses are equal to the annualized expense ratio for Class I (1.50%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.

* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

26    Semi-Annual Report

Other Information
Thornburg Long/Short Equity Fund	March 31, 2017 (Unaudited)

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

Semi-Annual Report    27

Trustees’ Statement to Shareholders

Readopted September 12, 2016

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, we are conscious of costs and the effect that costs have on shareholders’ returns. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

Trustees of Thornburg Investment Trust

28    Semi-Annual Report

Thornburg Funds

Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $49 billion (as of March 31, 2017) across U.S. mutual funds, separate accounts for high-net-worth investors and institutional accounts, and UCITS funds for non-U.S. investors.

The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.

EQUITY FUNDS

• Thornburg Investment Income Builder Fund

• Thornburg Global Opportunities Fund

• Thornburg International Value Fund

• Thornburg Better World International Fund

• Thornburg International Growth Fund

• Thornburg Developing World Fund

• Thornburg Value Fund

• Thornburg Core Growth Fund

FIXED INCOME FUNDS

• Thornburg Low Duration Income Fund

• Thornburg Limited Term U.S. Government Fund

• Thornburg Limited Term Income Fund

• Thornburg Strategic Income Fund

• Thornburg Low Duration Municipal Fund

• Thornburg Limited Term Municipal Fund

• Thornburg Intermediate Municipal Fund

• Thornburg California Limited Term Municipal Fund

• Thornburg New Mexico Intermediate Municipal Fund

• Thornburg New York Intermediate Municipal Fund

• Thornburg Strategic Municipal Income Fund

ALTERNATIVE FUNDS

• Thornburg Long/Short Equity Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

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Semi-Annual Report    31

This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

Investment Advisor:	Distributor:
Thornburg Investment Management®	Thornburg Securities Corporation®
800.847.0200	800.847.0200	TH3932

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Filed as part of the reports to shareholders filed under item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

The authority to consider candidates recommended by the shareholders in accordance with the Trust’s Procedures for Shareholder Communications is committed to the Governance and Nominating Committee.

Item 11. Controls and Procedures

(a) The principal executive officer and the principal financial officer have concluded that Thornburg Investment Trust’s disclosure controls and procedures provide reasonable assurance that material information relating to Thornburg Investment Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days prior to the filing date of this report.

(b) There was no change in Thornburg Investment Trust’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report (that is, the registrant’s second fiscal quarter) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits

(a) (1)  Not Applicable

(a) (2)  Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 70.30a-2(a)) attached hereto as Exhibit 99.CERT.

(a) (3)  Not Applicable

(b)  Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 70.30a-2(b)) attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Thornburg Investment Trust, in respect of the following Thornburg Funds: Low Duration Municipal Fund, Limited Term Municipal Fund, Intermediate Municipal Fund, Strategic Municipal Income Fund, California Limited Term Municipal Fund, New Mexico Intermediate Municipal Fund, New York Intermediate Municipal Fund, Limited Term U.S. Government Fund, Limited Term Income Fund, Low Duration Income Fund, Strategic Income Fund, Value Fund, International Value Fund, Core Growth Fund, International Growth Fund, Investment Income Builder Fund, Global Opportunities Fund, Developing World Fund, Better World International Fund, Capital Management Fund, and Long/Short Equity Fund.

By:	/s/ Jason H. Brady
	Jason H. Brady
	President and principal executive officer
Date:	May 25, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Jason H. Brady
	Jason H. Brady
	President and principal executive officer
Date:	May 25, 2017
By:	/s/ Nimish Bhatt
	Nimish Bhatt
	Treasurer and principal financial officer
Date:	May 25, 2017